st: AW: running multiple regressions at a time and saving coeffs

["Martin Weiss" <martin.weiss@uni-tuebingen.de>]

help postfile, help post, help postclose, help postutil

would be my recommendation. I used to worry a lot about the problem you are
describing till I found these. (Guess the subscription to the Stata Journal
has already paid for itself...)

Warm regards,
Martin Weiss
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-----Urspr�ngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Adrian de la
Garza
Gesendet: Mittwoch, 6. Februar 2008 20:16
An: statalist@hsphsun2.harvard.edu
Betreff: st: running multiple regressions at a time and saving coeffs

Hi!

I have a variable in my dataset called "date," which has approximately 40
different dates in it. I would like to run an OLS regression for each of
these dates, and store all of the coefficients somehow (eg, in a matrix), to
then compute the average and standard deviations of all these coefficients.

I know I can run all of these regressions by date if I do the following:

bys date: reg y x1 x2 x3

but then this wouldn't save my betas anywhere. So I created a loop as
follows:

egen group = group(date)
forvalues i = 1/40 {
reg y x1 x2 x3 if group == `i'
matrix mat`i' = e(b)
}

So now I have these 40 vectors mat1, mat2, mat3, ... mat40; which I would
like to stack in one big matrix so that I can export it to Excel or
something and compute the descriptive statistics I need, but I don't know
how to do this.

OR, let me know if you know of a better way of doing what I want.

Thanks a lot!

Best,
Adrian
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