Re: st: Coefficients resulting from Cross-Sectional Regressions

[Nick Cox <njcoxstata@gmail.com>]

That sounds like a series of regressions based on precisely one data
point each.

And that makes no sense to me.

Nick

2012/4/6 Fabian Schönenberger <fabian.schoenenberger@gmail.com>:
> Then I am on the wrong track anyway. Which is the right formula to do panel
> regressions with ID and t, for every single ID on each point in time in
> order to get coefficients individualised by ID and t?
> Many thanks in advance.
>
>
> -----Ursprüngliche Nachricht-----
> Von: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Nick Cox
> Gesendet: Freitag, 6. April 2012 17:20
> An: statalist@hsphsun2.harvard.edu
> Betreff: Re: st: Coefficients resulting from Cross-Sectional Regressions
>
> statsby _b, by(gvkey) saving(coefsales): regress lnebit lnsales
>
> conducts separate regressions for each firm. The coefficient does not differ
> by year, as different years are pooled in each regression.
>
> You can put the results of -statsby- back in the original dataset by using
> -merge-.
>
> Alternatively,
>
> egen group = group(gvkey)
> gen coeff = .
> su group, meanonly
>
> qui forval i = 1/`r(max)'  {
>          regress lnebit lnsales if group == `i'
>          replace coeff = _b[lnsales] if group == `i'
> }
>
> Nick
>
> 2012/4/6 Fabian Schönenberger <fabian.schoenenberger@gmail.com>:
>
>> I am an absolute beginner in Stata and face now some challenges with
>> generating regression coefficients as new variable for further
> computations.
>> I use tsset id t to conduct cross-sectional regressions. ID is gvkey
>> which identifies firm (about 4’000 firms in my sample), t is fyear
>> which identifies the specific year (ranging from 1984 to 2010). What I
>> am looking for is the function to run cross-sectional regressions and
>> generating coefficients as new variable to my list of variables. In
>> other words: I am looking for b, specified for each ID for every t (yi,t =
> ai + bi,t*xi,t).
>> I have tried the following:
>> statsby _b, by(gvkey) saving(coefsales): regress lnebit lnsales
>> However, two problems arise. First, the major problem, I only get
>> coefficients for gvkey, but not specified for every point in time (fyear).
>> Second, the coefsales are safed in a new file, but I would prefer a
>> new variable in my list of variable.
>> Any suggestions to solve the two problems are highly appreciated.

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