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Re: st: Regression with different firms
From
Fernando Rios Avila <[email protected]>
To
[email protected]
Subject
Re: st: Regression with different firms
Date
Thu, 9 Aug 2012 14:01:33 -0400
Felix,
Look at -help reshape-
HTH
Fernando
On Thu, Aug 9, 2012 at 1:58 PM, felix kreppel <[email protected]> wrote:
>
> 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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