st: Regression and Looping

[Reese Andorfer <reese.and89@gmail.com>]

Dear all,

I have an industry portfolio with at the respective return return_p
and then I the return of the market portfolio return_m. My time period
is 10 years and I have the returns- on a monthly basis.

Now I would like to perform the following regression : reg return_p
return_m for every month in my 10 year time period.

I would like to save the constant as well as the beta coefficient for
return_m, thus I tried to use the following :

gen ID=string( dt)


gen a0=.
gen a1=.


levelsof ID, local(x)
foreach obs of local x {
reg return_p return_m if ID=="`obs'"
replace a0=_b[_cons] if ID=="`obs'"
replace a1=_b[return_m] if ID=="`obs'"
}


whereby ID - is the date of the observation f.e. 01Jan03 in string form

now I have no missing observations whatsoever and I get the error no
observations.

I would be very grateful if someone knows what I'm doing wrong here.

Thank you,
Best Reese
*
*   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/