st: Regression by year and industry to save coefficients and standard errors

["Alessandri, Todd" <T.Alessandri@neu.edu>]

Hello,
I am trying to run regressions by industry and year, and save the
coefficients and standard errors for each industry-year model as new
variables. There is an additional wrinkle‹I have panel data for 1998-2011
and want to run each regression using t to t-4 only (I.e., for 2001, use
only 1998-2001 years of data).

I am new to using foreach loops and I found some prior coding on the web.
I have tried to adapt it to my situation but two issues:

1. the code below generates an error message: "__000001 already defined"
2. I have not figured out how to use the rolling four year data periods.

Here is the code I tried. Any suggestions would be much appreciated.


use sic4calc
generate salescoeff= .  //empty variable for coefficient
generate salesstderr = . // empty variable for std error
tempvar salescoeff salesstderr // temporary variables for each regression
levelsof sic4, local(levels)
foreach x of local levels {
foreach z of numlist 2001/2011 {
capture reg logsic4sales fyear if sic4==`x' & fyear==`z'
generate `salescoeff' = _b[fyear] // coeff now in temp var
replace salescoeff = `salescoeff' if e(sample) // transfer coeff from temp
generate `salesstderr' = _se[fyear] // stderr now in temp var
replace salesstderr = `salesstderr' if e(sample) // transfer stderr from
temp
drop `salescoeff' `salestderr'
}
}
save sic4variables

Thanks,
Todd




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