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st: Regression with different firms

From   "felix kreppel" <>
Subject   st: Regression with different firms
Date   Thu, 09 Aug 2012 19:58:33 +0200


I have regression problem:

I have a dataset consisting of yearly firm returns (for firm1-firm3) and the volatility of each firm in that month(std1-std3) and a data on a monthly market return (market_return) over a specific timepriod.

No I want to estimate the following regression over the whole time period:

return_firm_i = a*std_i + b* market_return

Its not a problem to do this with only one firm:

regress firm1 std1 market_return, robust

However, I want to do this for the whole dataset and estimate single coefficients.

Could somebody help me?

My dataset looks like this:

date    firm1 firm2 firm3 std1 std2 std3 market_return
1985    0.03   0.04  0.05  0.3  0.4  0.5    0.6
1986   ..
1987    ...

Thanks in advance!

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