st: Re: running multiple regressions at a time and saving coeffs

["Michael Blasnik" <michael.blasnik@verizon.net>]

..
see -help statsby- .  It does what you want (also you can check out -findit 
parmby-)

M Blasnik

----- Original Message ----- 
From: "Adrian de la Garza" <kokootchke@hotmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, February 06, 2008 2:16 PM
Subject: st: running multiple regressions at a time and saving coeffs



> Hi!
>
> I have a variable in my dataset called "date," which has approximately 40 
> different dates in it. I would like to run an OLS regression for each of these 
> dates, and store all of the coefficients somehow (eg, in a matrix), to then 
> compute the average and standard deviations of all these coefficients.
>
> I know I can run all of these regressions by date if I do the following:
>
> bys date: reg y x1 x2 x3
>
> but then this wouldn't save my betas anywhere. So I created a loop as follows:
>
> egen group = group(date)
> forvalues i = 1/40 {
> reg y x1 x2 x3 if group == `i'
> matrix mat`i' = e(b)
> }
>
> So now I have these 40 vectors mat1, mat2, mat3, ... mat40; which I would like 
> to stack in one big matrix so that I can export it to Excel or something and 
> compute the descriptive statistics I need, but I don't know how to do this.
>
> OR, let me know if you know of a better way of doing what I want.
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