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From |
"felix kreppel" <felix.kreppel@gmx.de> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Regression with different firms |

Date |
Thu, 09 Aug 2012 21:43:19 +0200 |

Sorry, it worked when I used the following command: reshape long firm std, i(date) j(firm_id) When I did the regression: regress firm std market_return, however, it produced an oddly low R² (0.09) and extremely high t-statists (~74.73). Is there a special command for time series regression in this case? -------- Original-Nachricht -------- > Datum: Thu, 9 Aug 2012 20:00:52 +0100 > Von: Nick Cox <njcoxstata@gmail.com> > An: statalist@hsphsun2.harvard.edu > Betreff: Re: st: Regression with different firms > We can't see anything that you don't tell us. "seems to work" and > "seems as if" are no help. Please give details in order not to waste > your own time by asking questions that no one can answer. > > Nick > > On Thu, Aug 9, 2012 at 7:44 PM, felix kreppel <felix.kreppel@gmx.de> > wrote: > > I tried the following commmand: > > > > reshape long firm std, i(date) j(firm) > > > > This seems to work. My dataset, however, is quite large (1000 firms & > 1000 volatilites). It seems as if Stata cannot perform the conversion. Am I > doing something wrong, or is there another way to do this? > > > > The regression command I would end up with after reshaping would be > > > > regress firm std market_return, right? > > > > Thanks. > > -------- Original-Nachricht -------- > >> Datum: Thu, 9 Aug 2012 14:34:09 -0400 > >> Von: Fernando Rios Avila <f.rios.a@gmail.com> > >> An: statalist@hsphsun2.harvard.edu > >> Betreff: Re: st: Regression with different firms > > > >> Exactly. You might end up with a data set that looks like: > >> Year firm_id return std market_return > >> 1985 1 > >> 1985 2 > >> 1985 3 > >> 1986 1 > >> just check the reshape examples from wide to long. > >> and if you tried already something, send the commands you have tried, > >> so its possible to tell you where is the syntaxis mistake. > >> Fernando > >> On Thu, Aug 9, 2012 at 2:21 PM, felix kreppel <felix.kreppel@gmx.de> > >> wrote: > >> > Hello Fernando, > >> > > >> > Thank you for your quick response. > >> > > >> > I thought of this. Do you mean, that I should reshape my dataset in > the > >> following way? > >> > > >> > > >> > year return std market_return > >> > firm1 1985 > >> > 1986 > >> > 1987 > >> > firm2 1985 > >> > 1986 > >> > 1987 > >> > > >> > and then run a simple linear regression? > >> > > >> > I tried different reshape commands-, but none of them seems to work.. > >> > > >> > -------- Original-Nachricht -------- > >> >> Datum: Thu, 9 Aug 2012 14:01:33 -0400 > >> >> Von: Fernando Rios Avila <f.rios.a@gmail.com> > >> >> An: statalist@hsphsun2.harvard.edu > >> >> Betreff: Re: st: Regression with different firms > >> > > >> >> Felix, > >> >> Look at -help reshape- > >> >> HTH > >> >> Fernando > >> >> On Thu, Aug 9, 2012 at 1:58 PM, felix kreppel <felix.kreppel@gmx.de> > >> >> wrote: > >> >> > > >> >> > Hello, > >> >> > > >> >> > I have regression problem: > >> >> > > >> >> > I have a dataset consisting of yearly firm returns (for > firm1-firm3) > >> and > >> >> the volatility of each firm in that month(std1-std3) and a data on a > >> >> monthly market return (market_return) over a specific timepriod. > >> >> > > >> >> > No I want to estimate the following regression over the whole time > >> >> period: > >> >> > > >> >> > return_firm_i = a*std_i + b* market_return > >> >> > > >> >> > Its not a problem to do this with only one firm: > >> >> > > >> >> > regress firm1 std1 market_return, robust > >> >> > > >> >> > However, I want to do this for the whole dataset and estimate > single > >> >> coefficients. > >> >> > > >> >> > Could somebody help me? > >> >> > > >> >> > > >> >> > My dataset looks like this: > >> >> > > >> >> > date firm1 firm2 firm3 std1 std2 std3 market_return > >> >> > 1985 0.03 0.04 0.05 0.3 0.4 0.5 0.6 > >> >> > 1986 .. > >> >> > 1987 ... > >> >> > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Regression with different firms***From:*"felix kreppel" <felix.kreppel@gmx.de>

**Re: st: Regression with different firms***From:*Fernando Rios Avila <f.rios.a@gmail.com>

**Re: st: Regression with different firms***From:*"felix kreppel" <felix.kreppel@gmx.de>

**Re: st: Regression with different firms***From:*Fernando Rios Avila <f.rios.a@gmail.com>

**Re: st: Regression with different firms***From:*"felix kreppel" <felix.kreppel@gmx.de>

**Re: st: Regression with different firms***From:*Nick Cox <njcoxstata@gmail.com>

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