Re: st: Regression with different firms

["felix kreppel" <felix.kreppel@gmx.de>]

I tried the following commmand:

reshape long firm std, i(date) j(firm)

This seems to work. My dataset, however, is quite large (1000 firms & 1000 volatilites). It seems as if Stata cannot perform the conversion. Am I doing something wrong, or is there another way to do this?

The regression command I would end up with after reshaping would be

regress firm std market_return, right?

Thanks.
-------- Original-Nachricht --------
> Datum: Thu, 9 Aug 2012 14:34:09 -0400
> Von: Fernando Rios Avila <f.rios.a@gmail.com>
> An: statalist@hsphsun2.harvard.edu
> Betreff: Re: st: Regression with different firms

> Exactly. You might end up with a data set that looks like:
> Year   firm_id  return  std  market_return
> 1985     1
> 1985     2
> 1985     3
> 1986     1
> just check the reshape examples from wide to long.
> and if you tried already something, send the commands you have tried,
> so its possible to tell you where is the syntaxis mistake.
> Fernando
> On Thu, Aug 9, 2012 at 2:21 PM, felix kreppel <felix.kreppel@gmx.de>
> wrote:
> > Hello Fernando,
> >
> > Thank you for your quick response.
> >
> > I thought of this. Do you mean, that I should reshape my dataset in the
> following way?
> >
> >
> >       year   return std market_return
> > firm1 1985
> >       1986
> >       1987
> > firm2 1985
> >       1986
> >       1987
> >
> > and then run a simple linear regression?
> >
> > I tried different reshape commands-, but none of them seems to work..
> >
> > -------- Original-Nachricht --------
> >> Datum: Thu, 9 Aug 2012 14:01:33 -0400
> >> Von: Fernando Rios Avila <f.rios.a@gmail.com>
> >> An: statalist@hsphsun2.harvard.edu
> >> Betreff: Re: st: Regression with different firms
> >
> >> Felix,
> >> Look at -help reshape-
> >> HTH
> >> Fernando
> >> On Thu, Aug 9, 2012 at 1:58 PM, felix kreppel <felix.kreppel@gmx.de>
> >> 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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