Dear Stata Users,
My data are in panel form. I have 1000 stocks and 11 years (2004-2015) of observations for each stock. For some of the stocks observations exist not for all years.
I am running a regression over each stock/year. The variable of interest is coeficients of Mon and Fri.All results should be exported to the excel with clear identifier of stock#/year.
I am facing two issues:
1. Eststo has a capasity of storing only first 300 estimates and after that stops estimation. My anticipated # of estimations is 1000 stocks*11=11000. The final # of estimations will be lesser as for some stocks there are only 2 or 3 years of observations.
2. My second problem is that I cannot understand the estimation results as there are no lables sush as stock#1/2004, stock#2/2004 etc...I show below how results appear in excel file.
Here is my code and excel output.
Excel output.
[CODE]
(1) (2) (3) (4)
rtr rtr rtr rtr
b b b b
mon -0.00165446 -0.00224324 -0.00995017 -0.00502305
tue -0.00093543 0.00182449 0.00040564 0.00261900
wed 0.00006496 0.00095726 0.00251634 0.00224068
thu 0.00087726 0.00027608 0.00058388 -0.00136246
fri 0.00120155 0.00022895 -0.00013217 0.00052794
[CODE]
This is an advanced task for a beginner like me, so I would appreciate any help about it.
Thanks a lot in advance.
My data are in panel form. I have 1000 stocks and 11 years (2004-2015) of observations for each stock. For some of the stocks observations exist not for all years.
I am running a regression over each stock/year. The variable of interest is coeficients of Mon and Fri.All results should be exported to the excel with clear identifier of stock#/year.
I am facing two issues:
1. Eststo has a capasity of storing only first 300 estimates and after that stops estimation. My anticipated # of estimations is 1000 stocks*11=11000. The final # of estimations will be lesser as for some stocks there are only 2 or 3 years of observations.
2. My second problem is that I cannot understand the estimation results as there are no lables sush as stock#1/2004, stock#2/2004 etc...I show below how results appear in excel file.
Here is my code and excel output.
Code:
forvalues year=2004/2015 {
levelsof id if Year==`year', local(idlist)
foreach id of local idlist {
eststo:quietly reg rtr mon tue wed thu fri lag1r lag2r if id == `id' & Year==`year', noconstant
}
}
esttab using d:\Return_regSMALL.csv, append cells("b(fmt(8))")
[CODE]
(1) (2) (3) (4)
rtr rtr rtr rtr
b b b b
mon -0.00165446 -0.00224324 -0.00995017 -0.00502305
tue -0.00093543 0.00182449 0.00040564 0.00261900
wed 0.00006496 0.00095726 0.00251634 0.00224068
thu 0.00087726 0.00027608 0.00058388 -0.00136246
fri 0.00120155 0.00022895 -0.00013217 0.00052794
[CODE]
This is an advanced task for a beginner like me, so I would appreciate any help about it.
Thanks a lot in advance.