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st: loop over regressions per year and calculate variables

From   Léon Bueckins <>
Subject   st: loop over regressions per year and calculate variables
Date   Fri, 3 Dec 2010 18:16:38 +0100


I'm having some trouble in calculating variables that are based on the coefficients from my regression, since I use the -by:- option. So my goal is to generate new variables that store the calculation of each regression.

My basic setup is as follow:

* get the year information from my date variable
gen year=year(date)

* regression should be ran for each year
sort year
by year: xtscc ln_csad return_ma absreturn_ma return2_ma

* Calculate Standardized Betas (for each year), since this option is not available for -xtscc- regression
gen b_return_ma = _b[return_ma]
gen b_absreturn_ma = _b[absreturn_ma]
gen b_return2_ma = _b[return2_ma]

egen sd_return_ma = sd(return_ma)
egen sd_absreturn_ma = sd(absreturn_ma)
egen sd_return2_ma = sd(return2_ma)
egen sd_ln_csad = sd(ln_csad)

gen Z_return = b_return_ma * (sd_return_ma/sd_ln_csad)
gen Z_absreturn = b_absreturn_ma * (sd_absreturn_ma/sd_ln_csad)
gen Z_return2 = b_return2_ma * (sd_return2_ma/sd_ln_csad)

* Calculate the variable that I actually need (should have one value per year)
gen phi = abs(Z_return2/Z_absreturn)


I tried to change this setup into a foreach loop but could not get it to work properly, can somebody help me out?


foreach x of varlist year {
display `x'

* How can I now run the regression per year?
xtscc ln_csad return_ma absreturn_ma return2_ma

* And how to calculate the former variables and store them?


Help is greatly appreciated!


Leon Bueckins

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