Dear Statalisters,
I am having trouble in storing regression constants of my OLS Regressions. I want to compute daily regressions for each company in my sample; obs_id identifies company and date.
I tried to build the following loop, somehow the saved coefficient is the same for the whole sample.
I would appreciate any comments or ideas on my code. I also tried statsby, but my sample is too large to use that command.
Thanks in advance!
Kind regards,
Nils
I am having trouble in storing regression constants of my OLS Regressions. I want to compute daily regressions for each company in my sample; obs_id identifies company and date.
I tried to build the following loop, somehow the saved coefficient is the same for the whole sample.
Code:
foreach x in obs_id { newey retRF MktRF SMB HML if obs_id == `x', lag(0) mat A = e(b) quietly replace constant = A[1, 4] if obs_id == `x' matrix A = . }
Thanks in advance!
Kind regards,
Nils
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