st: Multi-stage OLS loop

["kelly johnson" <econometrics@hotmail.com>]

Hi,

I have a quick question abotu writing a loop for a multi-stage OLS 
regression.

Suppose I have data as follows:

Date Var1 Var2 ... var20 Var21

with about 1500 observations for each.

How can I can i write a quick loop to do the following:

regress var 2-var20 on var1, individually

(ie. reg Var1 Var2
reg Var1 Var2....
reg Var1 Var20)

and save the beta, r-square [e(r2)], and residuals.

In the second stage, I want to reress Var21 on the residuals from stage 1, 
saving the beta and r-square.

How can I make the out put be like this:

Var1 beta (from stage 1) r-square (from stage 1) beta (from stage 2) 
r-square (from stage 2)
...
Var20 beta (from stage 1) r-square (from stage 1) beta (from stage 2) 
r-square (from stage 2)

Thanks!

fuaad

_________________________________________________________________
Express yourself instantly with MSN Messenger! Download today - it's FREE! 
http://messenger.msn.click-url.com/go/onm00200471ave/direct/01/

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/