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Re: st: Storing regression coefficient estimates


From   "Roger B. Newson" <[email protected]>
To   [email protected]
Subject   Re: st: Storing regression coefficient estimates
Date   Fri, 20 Jul 2012 15:23:43 +0100

If you download -parmest- from SSC and type

help parmest

then you will find a long list of References, each of which contains hypertext for a document on the use of -parmest-. The best one to start with is probably Newson (2003).

Best wishes

Roger


Roger B Newson BSc MSc DPhil
Lecturer in Medical Statistics
Respiratory Epidemiology and Public Health Group
National Heart and Lung Institute
Imperial College London
Royal Brompton Campus
Room 33, Emmanuel Kaye Building
1B Manresa Road
London SW3 6LR
UNITED KINGDOM
Tel: +44 (0)20 7352 8121 ext 3381
Fax: +44 (0)20 7351 8322
Email: [email protected]
Web page: http://www.imperial.ac.uk/nhli/r.newson/
Departmental Web page:
http://www1.imperial.ac.uk/medicine/about/divisions/nhli/respiration/popgenetics/reph/

Opinions expressed are those of the author, not of the institution.

On 20/07/2012 15:12, Braunfels, Philipp (Stud. SBE / Alumni) wrote:
Thanks Roger for the Hint. Is there anywhere a document that explains how to use -parmest- I have been searching for the last couple of hours and could not find any. I appreciate your help!

On Fri, Jul 20, 2012 at 12:44 PM, Roger B. Newson <[email protected]> wrote:
This looks like a job for the -parmest- package, which is downloadable from
SSC, and which stores regression coefficients in output datasets (or
resultssets). These resultssets can then be concatenated, subsetted and
plotted in whatever way the user needt to do.

I hope this helps.

Best wishes

Roger


Roger B Newson BSc MSc DPhil
Lecturer in Medical Statistics
Respiratory Epidemiology and Public Health Group
National Heart and Lung Institute
Imperial College London
Royal Brompton Campus
Room 33, Emmanuel Kaye Building
1B Manresa Road
London SW3 6LR
UNITED KINGDOM
Tel: +44 (0)20 7352 8121 ext 3381
Fax: +44 (0)20 7351 8322
Email: [email protected]
Web page: http://www.imperial.ac.uk/nhli/r.newson/
Departmental Web page:
http://www1.imperial.ac.uk/medicine/about/divisions/nhli/respiration/popgenetics/reph/

Opinions expressed are those of the author, not of the institution.


On 20/07/2012 11:21, Braunfels, Philipp (Stud. SBE / Alumni) wrote:

Dear Statlisters,
I have an unbalanced panel dataset and want to do a two-stage regression.
I want to run individual (by panelvar) time series regressions (rolling
time frame) and store the estimates of each coefficient in a new variable.
With "rolling time frame" I mean that the coefficients in period t are
estimated based on values from period t-24 to t (that is, on the prior 24
months of data).
   My set starts in month 476 and contains 120 months of data. My approach
looks as follows but I just do not get how to store the estimates and define
the correct time frame (according to "help reg" the coefficients are stored
in a vector e(b)):

[ID= panelvar, month=timevar]

gen beta_x1=0
gen beta_x2=0
gen beta_x3=0
gen intercept=0

*define time frame
forvalues i=500/596{

*define separate regressions for each firm in my panel
quietly levelsof ID ,l(lvls)
foreach l of loc lvls {
      quietly reg y x1 x2 x3, vce(robust) if (ID == "`l'" & month>`i'-24 &
month<`i'+1), vce(robust)  **** -& month>`i'-24 & month<`i'+1- is intended
to capture the rolling window of 24 months

*store coefficients
      replace beta_x1= "coefficient_x1" if (ID == "`l'" & month==`i'+1)
      replace beta_x2="coefficient_x2" if (ID == "`l'" & month==`i'+1)
      replace beta_x2="coefficient_x3" if (ID == "`l'" & month==`i'+1)
      replace intercept="_constant" if (ID == "`l'" & month==`i'+1)
}
}

   Can someone help me
(i) how do I correctly specify that the regression is estimated for a
rolling window of 24 months (which I did above by writing -& month>`i'-24 &
month<`i'+1-) , i.e. the coefficients for month 501 are estimated based on
the values from months 476-500, the coefficients for 502 are estimated from
months 477-501 and so on...
   (ii) how can I specify that only the coefficient of x1, x2 or x3 is
stored (I just wrote "coefficient_x#")

I am very very thankful for any help and greatly appreciate your time!
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