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Re: st: Running 1000 regressions comparing the t-statistics
From
Nick Sanders <[email protected]>
To
[email protected]
Subject
Re: st: Running 1000 regressions comparing the t-statistics
Date
Tue, 24 May 2011 09:38:47 -0700
I largely agree with Nick . . . however there are times when you don't want to have to manually calculate the 95% CI or other such handy values created by parmby, and for that situation I suggest the following combination of the commands parmby, tempfile, and append:
********
clear
save testimates, emptyok replace
tempfile tests
use data.dta
preserve
foreach x in foo1 {
foreach y in foo2 {
foreach z in foo3 {
restore
preserve
parmby "newey exret L1.underberg_`x'_`y'_`z', lag(10)", saving('tests', repl=
ace)
use testimates, clear
append using 'tests'
save testimates, replace
}
}
}
restore, not
********
That should generate a file containing all 1000 regression outputs. You can m=
odify it accordingly to keep only the t-stats of the relevant variables.
-Nick
On May 24, 2011, at 3:51 AM, Nick Cox wrote:
> . help postfile
>
> -append- is not going to help much here.
>
> Nick
>
> On Tue, May 24, 2011 at 10:30 AM, <[email protected]> wrote:
>
>> I´ve got a problem concerning a do-file. A short wrap up of the problem: I want to make more than 1000 newey-west regressions each using a different dependent variable and compare afterwards the t-statistics of all of them to distinguish the most significant dependent varibale.
>>
>> I tried to do it with th command:
>>
>> parmby "newey exret L1.underberg_`x'_`y'_`z', lag(10)", saving(testimates, replace)
>>
>> Instead of rplacing everytime the testimates.dta I want to have one .dta which includes the t-statistics of all newey-west regressions. Do you have any ideas to solve this problem? May the command: "append" be useful and is it linkable with the parmby command?
>
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