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From |
"Braunfels, Philipp (Stud. SBE / Alumni)" <P.Braunfels@student.maastrichtuniversity.nl> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
st: Storing regression coefficient estimates |

Date |
Fri, 20 Jul 2012 12:21:00 +0200 |

Dear Statlisters, I have an unbalanced panel dataset and want to do a two-stage regression. I want to run individual (by panelvar) time series regressions (rolling time frame) and store the estimates of each coefficient in a new variable. With "rolling time frame" I mean that the coefficients in period t are estimated based on values from period t-24 to t (that is, on the prior 24 months of data). My set starts in month 476 and contains 120 months of data. My approach looks as follows but I just do not get how to store the estimates and define the correct time frame (according to "help reg" the coefficients are stored in a vector e(b)): [ID= panelvar, month=timevar] gen beta_x1=0 gen beta_x2=0 gen beta_x3=0 gen intercept=0 *define time frame forvalues i=500/596{ *define separate regressions for each firm in my panel quietly levelsof ID ,l(lvls) foreach l of loc lvls { quietly reg y x1 x2 x3, vce(robust) if (ID == "`l'" & month>`i'-24 & month<`i'+1), vce(robust) **** -& month>`i'-24 & month<`i'+1- is intended to capture the rolling window of 24 months *store coefficients replace beta_x1= "coefficient_x1" if (ID == "`l'" & month==`i'+1) replace beta_x2="coefficient_x2" if (ID == "`l'" & month==`i'+1) replace beta_x2="coefficient_x3" if (ID == "`l'" & month==`i'+1) replace intercept="_constant" if (ID == "`l'" & month==`i'+1) } } Can someone help me (i) how do I correctly specify that the regression is estimated for a rolling window of 24 months (which I did above by writing -& month>`i'-24 & month<`i'+1-) , i.e. the coefficients for month 501 are estimated based on the values from months 476-500, the coefficients for 502 are estimated from months 477-501 and so on... (ii) how can I specify that only the coefficient of x1, x2 or x3 is stored (I just wrote "coefficient_x#") I am very very thankful for any help and greatly appreciate your time! * * 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/

**Follow-Ups**:**Re: st: Storing regression coefficient estimates***From:*"Roger B. Newson" <r.newson@imperial.ac.uk>

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