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  • Running multiple regressions at the same time

    Hello everyone, I am new to Stata and I cannot find the right code to solve my issue.

    I have time series data and I want to use fund's returns as dependent variable and some factors as indipendent variables. Given the fact that I have hundreds of funds, I would lose a lot of time performing each regression manually. Is possible fixing the indipendent variables, performing the regression for each fund automatically and saving the output?

    Thank you.

  • #2
    Mark: If I understand your question correctly, then using a -foreach- loop may work. For instance, if your dependent variables are y1, y2, ..., y1000, your RHS variables are x1 and x2, and using -regress- as an estimation method as an example (you would choose the estimation method and options best suited for your time-series data and substitute these for the -regress- command), then
    Code:
    foreach y of varlist y1-y1000 {
      regress `y' x1 x2
    }
    If this is more-or-less what you have in mind, then I might suggest familiarizing yourself with the different ways -foreach- can work:
    Code:
    help foreach
    and how to specify -varlists-
    Code:
    help varlist
    The next question is what you mean by "saving the output." If you mean simply having a log file that contains the results, then check out
    Code:
    help log
    If you mean actually preserving the regression output (e.g. the estimated parameters) for subsequent computations, then there are lots of options to consider.

    Comment


    • #3
      John gives excellent advice for the situation in which funds define separate variables. Alternatively if you have a panel structure, check out statsby and rangestat (SSC).

      Comment


      • #4
        following John's comments, i suggest you to use post to save your estimation result one by one from the foreach loop

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