Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: Sorting data in deciles and then regressing and storing coefficients. (Looping)
From
Nick Cox <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: Sorting data in deciles and then regressing and storing coefficients. (Looping)
Date
Mon, 8 Jul 2013 19:11:20 +0100
I see no reason to believe that you need to loop, but much depends on
precisely how much detail you need for the regressions. See also
-statsby-.
Nick
[email protected]
On 8 July 2013 16:14, C. Evans <[email protected]> wrote:
> I'm using Stata/SE 12.1
>
> I am trying to create a new variable called BETA. It follows the computation
> of many financial papers. Amihud 2002 gives a good description of what I am
> trying to do.
>
> Extract paraphrased from Amihud (2002)accessed here
> http://www.sciencedirect.com/science/article/pii/S1386418101000246 :
>
> At the end of each year Y, stocks are ranked by their size and divided into
> ten equal portfolios. Next, the porfolio return R is calculated as the
> equally weighted average of stock returns in portfolio P on day T in year Y.
> Then, the market model is estimated for each portfolio P, P=1,2,....10
[...]
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/