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st: Re: RE: Re: RE: Avoiding loops (the while loop)

From   "Subhankar Nayak" <[email protected]>
To   <[email protected]>
Subject   st: Re: RE: Re: RE: Avoiding loops (the while loop)
Date   Mon, 28 Jun 2004 18:49:53 -0400

Thanks David about the suggestion of dummy variables.
Actually I thought about that but the difficulty is that I am using
chronological months, rather than calendar months...
That is, I have monthly observations for 80+ years, and not the 12 calendar
In that case, the number of coefficients is 10*1000*2... (1000 months) and
that makes it very messy.

----- Original Message ----- 
From: "David E Moore" <[email protected]>
To: <[email protected]>
Sent: Monday, June 28, 2004 6:22 PM
Subject: st: RE: Re: RE: Avoiding loops (the while loop)

> While I still don't quite understand the nature of your data and problem,
> seems to me that you should be able to manipulate the data so that
> constructed dummy variables (to identify each month and portfolio) and
> interactions between pbeta and the appropriate dummy variables could give
> exactly what you want in a single regression.  It would be large (10 x 12
x 2
> coefficients), but it should run considerably faster.

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