OLS regression by industry - Regressing one type of return from one industry to another type of return of all industries

[Paul Halm]

Hello,

I have a dataset in excel where single observations contain data for (quarterly) wage returns of different industries as well as (quarterly) stock returns of different industries and countries. What I want to do is a simple OLS regression where I have wage returns as dependent variable. I want to regress wage returns from one country and industry to the stock returns of all industries in the same country.

I am not sure how to specify the the dependent and independent variable in the command of the OLS regression.
If I use this command:

reg WR_Q Excess_Returns if country=="Germany" & Sector=="Manufacturing"

Then I only specify this for both dependent and independent variable.

My search on google was not successful as I am not sure how to call the commands I am looking for.
I would appreciate any help with this issue.

Kind regards,
Paul Halm

[Roman Mostazir]

Welcome to Statalist. I am not sure what you are after but others may help you if you post sample data using -dataex-. You increase your chance of getting a good reply if you help others to understand your problem. See the FAQ section on how to make meaningful posts (pay special attention to the use of -dataex- and use of code delimiters).

[Phil Bromiley]

You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output (fixed spacing fonts help), and sample data using dataex. I don't see what is wrong with your reg statement - it should regress WR_Q on Excess_Returns for observations with country == Germany and sector == Manufacturing.

As a beginner, you should read the Users Manual. You should also look at the documentation provided with Stata. In the Contents, or Base Reference (oddly listed under R in the alphabetic listing), you can find regress. The documentation is extensive. Or, if you just enter help regress from the command line, you'll get a short form documentation.