Hello Nick,
Thanks for your suggestions.
1) Yes, there are 21 variables. Sorry, it was a typo on my part.
2) I want to avoid loops because this is part of a simulation exercise, and
loops in stata (as in any other statistical package) is very slow. First, I
have to do month by month regression for 1000 months. Second, I have to
repeat this exercise for 1000 simulation rounds. Now, even with 1500MB
memory I am allocating, the whole exercise takes 8-10 hours... And I have
variations of these tests.
3) Let me try the code you are suggesting.
4) I am attaching my code below for perusal if necessary.
Thank you so much.
Subh
----------------------------------------------------------------------------
--------
DATASET:
Variables Nobs
month 1000
ret1 1000
ret2 1000
ret3 1000
ret4 1000
ret5 1000
ret6 1000
ret7 1000
ret8 1000
ret9 1000
ret10 1000
pbeta1 1000
pbeta2 1000
pbeta3 1000
pbeta4 1000
pbeta5 1000
pbeta6 1000
pbeta7 1000
pbeta8 1000
pbeta9 1000
pbeta10 1000
Note: 1-10 denote 10 asset portfolios ("port") each month
GOAL:
1) Each month, collect the intercept and coefficient of regression of
returns ("ret") on postbetas ("pbeta")
2) Get the time-series average and t-statistic of this intercept and
coefficient
PART OF THE PROGRAM CODE:
* INITIAL DATA ANALYISIS
/* details skipped */
* RESHAPE THE DATASET
sort month
reshape long ret pbeta, i(month) j(port)
sort month port
* CROSS-SECTIONAL TEST 1: full-period cross-sectional regression
/* details skipped, works fine */
* CROSS-SECTIONAL TEST 2: stacked cross-sectional regression
/* details skipped, works fine */
* CROSS-SECTIONAL TEST 3: averaged monthly cross-sectional regressions
(Fama-French approach)
/* this is where I want to avoid the while loop, it gets very slow */
* Collect the monthly intercepts and slopes
quietly generate tslope = .
quietly generate tintcp = .
quietly summ month
local nummns = r(max)
sort month port
local imonth = 1
while `imonth' <= `nummns' {
quietly reg ret pbeta if month == `imonth'
sca e_coeff1 = _b[_con]
sca e_coeff2 = _b[pbeta]
quietly replace tintcp = e_coeff1 if month == `imonth'
quietly replace tslope = e_coeff2 if month == `imonth'
sca drop e_coeff1 e_coeff2
local imonth = `imonth' + 1
}
* Now test the time series of these intercepts and slopes
quietly replace tslope = . if port ~= 1
quietly replace tintcp = . if port ~= 1
quietly summ tintcp if tintcp ~= .
sca sl31 = r(mean)
quietly ttest tintcp = 0 if tintcp ~= .
sca ts31 = r(t)
sca pv31 = r(p)
quietly summ tslope if tslope ~= .
sca sl32 = r(mean)
quietly ttest tslope = 0 if tslope ~= .
sca ts32 = r(t)
sca pv32 = r(p)
drop tslope tintcp
/* REMAINING ANALYSIS FOLLOWS */
*
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