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st: Regression with different firms
From
"felix kreppel" <[email protected]>
To
[email protected]
Subject
st: Regression with different firms
Date
Thu, 09 Aug 2012 19:58:33 +0200
Hello,
I have regression problem:
I have a dataset consisting of yearly firm returns (for firm1-firm3) and the volatility of each firm in that month(std1-std3) and a data on a monthly market return (market_return) over a specific timepriod.
No I want to estimate the following regression over the whole time period:
return_firm_i = a*std_i + b* market_return
Its not a problem to do this with only one firm:
regress firm1 std1 market_return, robust
However, I want to do this for the whole dataset and estimate single coefficients.
Could somebody help me?
My dataset looks like this:
date firm1 firm2 firm3 std1 std2 std3 market_return
1985 0.03 0.04 0.05 0.3 0.4 0.5 0.6
1986 ..
1987 ...
Thanks in advance!
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