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Re: st: Sorting data in deciles and then regressing and storing coefficients. (Looping)


From   Nick Cox <[email protected]>
To   "[email protected]" <[email protected]>
Subject   Re: st: Sorting data in deciles and then regressing and storing coefficients. (Looping)
Date   Mon, 8 Jul 2013 19:11:20 +0100

I see no reason to believe that you need to loop, but much depends on
precisely how much detail you need for the regressions. See also
-statsby-.

Nick
[email protected]


On 8 July 2013 16:14, C. Evans <[email protected]> wrote:

> I'm using Stata/SE 12.1
>
> I am trying to create a new variable called BETA. It follows the computation
> of many financial papers. Amihud 2002 gives a good description of what I am
> trying to do.
>
> Extract paraphrased from Amihud (2002)accessed here
> http://www.sciencedirect.com/science/article/pii/S1386418101000246 :
>
> At the end of each year Y, stocks are ranked by their size and divided into
> ten equal portfolios. Next, the porfolio return R is calculated as the
> equally weighted average of stock returns in portfolio P on day T in year Y.
> Then, the market model is estimated for each portfolio P, P=1,2,....10

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