Hey all,
I have to compare a beta coefficient from one regression with interaction terms (factor-variables) to a beta coefficient from another regression with interaction terms. How can I save the beta coefficients from the first regression?
My do-file look as follows:
clear all
set more off
import excel "\\studfiles.campus.uvt.nl\files\home\home07\u 1246 790\Master\THESIS\Data\TOTAL REGRESSION DATA.xlsx", sheet("Sheet1") firstrow
fvset base none ETF Market
/* Option 1: Per ETF */
regress TE5 i.ETF##c.VOL i.ETF##c.SKEW i.ETF##c.KURT i.ETF##c.DIV i.ETF##c.PD
save "\\studfiles.campus.uvt.nl\files\home\home07\u 1246 790\Master\THESIS\Performance Measurement\voorbeeld.dta"
regress TE5 i.Market##c.VOL i.Market##c.SKEW i.Market##c.KURT i.Market##c.DIV i.Market##c.PD
append using "\\studfiles.campus.uvt.nl\files\home\home07\u 1246 790\Master\THESIS\Performance Measurement\voorbeeld.dta"
test i28.ETF#c.PD == i2.Market#c.PD
And the error is as follows:
. test i28.ETF#c.PD == i2.Market#c.PD
variable ETF not found
r(111);
Is there a way I can save my slope coefficient from the first regression (i.e. regress TE5 i.ETF##c.VOL i.ETF##c.SKEW i.ETF##c.KURT i.ETF##c.DIV i.ETF##c.PD)
Thank you in advance
I have to compare a beta coefficient from one regression with interaction terms (factor-variables) to a beta coefficient from another regression with interaction terms. How can I save the beta coefficients from the first regression?
My do-file look as follows:
clear all
set more off
import excel "\\studfiles.campus.uvt.nl\files\home\home07\u 1246 790\Master\THESIS\Data\TOTAL REGRESSION DATA.xlsx", sheet("Sheet1") firstrow
fvset base none ETF Market
/* Option 1: Per ETF */
regress TE5 i.ETF##c.VOL i.ETF##c.SKEW i.ETF##c.KURT i.ETF##c.DIV i.ETF##c.PD
save "\\studfiles.campus.uvt.nl\files\home\home07\u 1246 790\Master\THESIS\Performance Measurement\voorbeeld.dta"
regress TE5 i.Market##c.VOL i.Market##c.SKEW i.Market##c.KURT i.Market##c.DIV i.Market##c.PD
append using "\\studfiles.campus.uvt.nl\files\home\home07\u 1246 790\Master\THESIS\Performance Measurement\voorbeeld.dta"
test i28.ETF#c.PD == i2.Market#c.PD
And the error is as follows:
. test i28.ETF#c.PD == i2.Market#c.PD
variable ETF not found
r(111);
Is there a way I can save my slope coefficient from the first regression (i.e. regress TE5 i.ETF##c.VOL i.ETF##c.SKEW i.ETF##c.KURT i.ETF##c.DIV i.ETF##c.PD)
Thank you in advance
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