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From |
Fernando Rios Avila <f.rios.a@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Regression with different firms |

Date |
Thu, 9 Aug 2012 14:51:25 -0400 |

No, your command is wrong. it should be: reshape long firm std, i(date) j(firm_id) For your regression, that seems to be correct as a starting point. Fernando On Thu, Aug 9, 2012 at 2:44 PM, felix kreppel <felix.kreppel@gmx.de> wrote: > I tried the following commmand: > > reshape long firm std, i(date) j(firm) > > This seems to work. My dataset, however, is quite large (1000 firms & 1000 volatilites). It seems as if Stata cannot perform the conversion. Am I doing something wrong, or is there another way to do this? > > The regression command I would end up with after reshaping would be > > regress firm std market_return, right? > > Thanks. > -------- Original-Nachricht -------- >> Datum: Thu, 9 Aug 2012 14:34:09 -0400 >> Von: Fernando Rios Avila <f.rios.a@gmail.com> >> An: statalist@hsphsun2.harvard.edu >> Betreff: Re: st: Regression with different firms > >> Exactly. You might end up with a data set that looks like: >> Year firm_id return std market_return >> 1985 1 >> 1985 2 >> 1985 3 >> 1986 1 >> just check the reshape examples from wide to long. >> and if you tried already something, send the commands you have tried, >> so its possible to tell you where is the syntaxis mistake. >> Fernando >> On Thu, Aug 9, 2012 at 2:21 PM, felix kreppel <felix.kreppel@gmx.de> >> wrote: >> > 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! >> >> > >> >> > * >> >> > * 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/ * * 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: Regression with different firms***From:*"felix kreppel" <felix.kreppel@gmx.de>

**Re: st: Regression with different firms***From:*Fernando Rios Avila <f.rios.a@gmail.com>

**Re: st: Regression with different firms***From:*"felix kreppel" <felix.kreppel@gmx.de>

**Re: st: Regression with different firms***From:*Fernando Rios Avila <f.rios.a@gmail.com>

**Re: st: Regression with different firms***From:*"felix kreppel" <felix.kreppel@gmx.de>

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