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From |
Nick Cox <njcoxstata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Coefficients resulting from Cross-Sectional Regressions |

Date |
Fri, 6 Apr 2012 19:42:52 +0100 |

I now see what that means. Sorry, but I haven't progressed beyond my impression that you want regressions each based on one data point. Others may be able to help. 2012/4/6 Fabian Schönenberger <fabian.schoenenberger@gmail.com>: > I do not have the same number of yearly observations for each firm. > According to other studies from journals this is true for many empirical > investigations. > > -----Ursprüngliche Nachricht----- > Von: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Nick Cox > Gesendet: Freitag, 6. April 2012 19:49 > An: statalist@hsphsun2.harvard.edu > Betreff: Re: st: Coefficients resulting from Cross-Sectional Regressions > > What does "different amounts of yearly observations" mean? > > Perhaps you seek -rolling-. > > I'm not an economist, or at least no longer studying it, so economists and > econometricians on the list may have a better sense of what you want. > > Nick > > 2012/4/6 Fabian Schönenberger <fabian.schoenenberger@gmail.com>: >> I try to explain the research idea. Based on the expression yid,t = a >> + bid,t*xid,t + e I am looking for bid,t, where id = firm and t = firm > years. >> Y = lnebit, x = lnsales; for every firm on different amounts of yearly >> observations. The coefficient b measures the sensitivity of ebit >> resulting from business activity. I will further analyse the >> coefficients and try to find out what financial policies (for instance >> equity-ratio) this dependence creates. In order to do that I (think I) >> need b for each individual for every point in time. Clustered b (on >> id) are not sufficient to reuse the coefficients for regressions based >> on yearly observations. One way would be to merge id with t, in order >> to get yearly coefficients. Doesn't this make sense? >> >> Fabian >> >> >> -----Ursprüngliche Nachricht----- >> Von: owner-statalist@hsphsun2.harvard.edu >> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Nick Cox >> Gesendet: Freitag, 6. April 2012 18:39 >> An: statalist@hsphsun2.harvard.edu >> Betreff: Re: st: Coefficients resulting from Cross-Sectional >> Regressions >> >> That sounds like a series of regressions based on precisely one data >> point each. >> >> And that makes no sense to me. >> >> Nick >> >> 2012/4/6 Fabian Schönenberger <fabian.schoenenberger@gmail.com>: >>> Then I am on the wrong track anyway. Which is the right formula to do >>> panel regressions with ID and t, for every single ID on each point in >>> time in order to get coefficients individualised by ID and t? >>> Many thanks in advance. >>> >>> >>> -----Ursprüngliche Nachricht----- >>> Von: owner-statalist@hsphsun2.harvard.edu >>> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Nick Cox >>> Gesendet: Freitag, 6. April 2012 17:20 >>> An: statalist@hsphsun2.harvard.edu >>> Betreff: Re: st: Coefficients resulting from Cross-Sectional >>> Regressions >>> >>> statsby _b, by(gvkey) saving(coefsales): regress lnebit lnsales >>> >>> conducts separate regressions for each firm. The coefficient does not >>> differ by year, as different years are pooled in each regression. >>> >>> You can put the results of -statsby- back in the original dataset by >>> using -merge-. >>> >>> Alternatively, >>> >>> egen group = group(gvkey) >>> gen coeff = . >>> su group, meanonly >>> >>> qui forval i = 1/`r(max)' { >>> regress lnebit lnsales if group == `i' >>> replace coeff = _b[lnsales] if group == `i' >>> } >>> >>> Nick >>> >>> 2012/4/6 Fabian Schönenberger <fabian.schoenenberger@gmail.com>: >>> >>>> I am an absolute beginner in Stata and face now some challenges with >>>> generating regression coefficients as new variable for further >>> computations. >>>> I use tsset id t to conduct cross-sectional regressions. ID is gvkey >>>> which identifies firm (about 4’000 firms in my sample), t is fyear >>>> which identifies the specific year (ranging from 1984 to 2010). What >>>> I am looking for is the function to run cross-sectional regressions >>>> and generating coefficients as new variable to my list of variables. >>>> In other words: I am looking for b, specified for each ID for every >>>> t (yi,t = >>> ai + bi,t*xi,t). >>>> I have tried the following: >>>> statsby _b, by(gvkey) saving(coefsales): regress lnebit lnsales >>>> However, two problems arise. First, the major problem, I only get >>>> coefficients for gvkey, but not specified for every point in time >> (fyear). >>>> Second, the coefsales are safed in a new file, but I would prefer a >>>> new variable in my list of variable. >>>> Any suggestions to solve the two problems are highly appreciated. >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Coefficients resulting from Cross-Sectional Regressions***From:*Fabian Schönenberger <fabian.schoenenberger@gmail.com>

**Re: st: Coefficients resulting from Cross-Sectional Regressions***From:*Nick Cox <njcoxstata@gmail.com>

**AW: st: Coefficients resulting from Cross-Sectional Regressions***From:*Fabian Schönenberger <fabian.schoenenberger@gmail.com>

**Re: st: Coefficients resulting from Cross-Sectional Regressions***From:*Nick Cox <njcoxstata@gmail.com>

**AW: st: Coefficients resulting from Cross-Sectional Regressions***From:*Fabian Schönenberger <fabian.schoenenberger@gmail.com>

**Re: st: Coefficients resulting from Cross-Sectional Regressions***From:*Nick Cox <njcoxstata@gmail.com>

**AW: st: Coefficients resulting from Cross-Sectional Regressions***From:*Fabian Schönenberger <fabian.schoenenberger@gmail.com>

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