st: Groupwise regressions and ranking

[Micha Schildmann <micha.schildmann@yahoo.de>]

Hello everyone,
I am currently developing a sentiment index using Google search frequencies taken from Google Trends.
I am using Stata 12 on Windows.
My approach is as following:
1. I downloaded approx ~150 business related search queries from Googletrends from Jan 2004 to Dec 2013
2. I now want to construct an index using the 30 at that point in time most relevant queries related to the market I observe
3. To achieve that I want to use monthly expanding backward rolling regressions of each query on the market
4. Thus I need to regress 150 items one-by-one on the market 120 times (12month x 10 years), using different time windows and then extract the 30 queries with the most negative t-test.
To exemplify the procedure, if I would want to construct the sentiment for January 2010 I would regress the query terms on the market during the Period Jan 2004 till December 2009 and then extract the 30 queries with the most negative t-statistic.
Now I am looking for a way to make this as automatized as possible. I guess should be able to run the 150 items at once, and I can specify the time window using the time stamps. Using excel commands and creating a do-file with all the regression commands in it (which would be quite large) I could probably create the regressions relatively efficient (although it depends how much stata can handle - any experience on that?).
What I would need to make the data extraction much easier, is a command which I can use to rank the results of the regression according to their t-statistics. Does someone have an efficient approach to this? Or has general advises?
Any comment is welcome!

 I could not find anything in the archvie or the web.
Best regards
Micha


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