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Re: st: Regression with different firms


From   "felix kreppel" <felix.kreppel@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Regression with different firms
Date   Thu, 09 Aug 2012 20:21:44 +0200

Hello Fernando,

Thank you for your quick response.

I thought of this. Do you mean, that I should reshape my dataset in the following way?


      year   return std market_return
firm1 1985
      1986
      1987
firm2 1985
      1986
      1987

and then run a simple linear regression?

I tried different reshape commands-, but none of them seems to work..

-------- Original-Nachricht --------
> Datum: Thu, 9 Aug 2012 14:01:33 -0400
> Von: Fernando Rios Avila <f.rios.a@gmail.com>
> An: statalist@hsphsun2.harvard.edu
> Betreff: Re: st: Regression with different firms

> Felix,
> Look at -help reshape-
> HTH
> Fernando
> On Thu, Aug 9, 2012 at 1:58 PM, felix kreppel <felix.kreppel@gmx.de>
> wrote:
> >
> > Hello,
> >
> > 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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