Ok, regressions are working perfectly now but gretl prints out a complete regression-output for each model and stops at i = 16 instead of 612.
Any idea? -----Ursprüngliche Nachricht----- Von: Sven Schreiber [mailto:svetosch(a)gmx.net] Gesendet: Mittwoch, 10. März 2010 18:48 An: Peter Blömeke Cc: Gretl list Betreff: Re: AW: AW: [Gretl-users] Panel Data, print out estimated betas Peter Blömeke schrieb: > Peter Blömeke schrieb: >> Hi Sven, >> >> thx for responding to my obviously misleading question. Am I right that I >> could explain my question in German to you? If not, please let me know and > I >> try it in English again. >> >> >> Ich habe als abhängige Variable die monatlichen Aktienkursrenditen von 612 >> Unternehmen über 180 Monate und als erklärende Variable die Rendite zweier >> Aktienindizes. Die Daten sind als Paneldaten "Stacked Cross Section" >> organisiert. Nun möchte ich das Gretl für jedes Unternehmen die beiden >> Indexrenditen auf die Aktienrendite regressiert und mir jeweils die beiden >> Koeffizienten ausgibt. Sodass ich schließlich eine Liste mit 612 x 2 >> Koeffizienten habe. >> >> Ich hoffe mein Problem ist etwas klarer geworden. >> > > Ok so this is not a panel model at all, but rather 612 times 2 different > regressions (static but along the time dimension)! (although one could > use the panel structure of the dataset for the programming) > And I guess we should understand the term "beta" in the CAPM sense. Then > indeed you need a loop construct like it was suggested before. > > This example indeed uses the panel structure (via $unit -- bugs probably > included): > > scalar numofunits = max($unit) > matrix betas = {} > loop for i=1..numofunits > smpl $unit=i --restrict > ols stockreturn const indexreturn1 # I made these names up... > scalar coeff1 = $coeff(indexreturn1) > ols stockreturn const indexreturn2 > scalar coeff2 = $coeff(indexreturn2) > matrix betas = betas | {coeff1,coeff2} > smpl full > endloop > > > and the 612x2-matrix betas will hold your coefficients > > HTH, > sven > > > Hey Sven, > thank you so much for taking time to help me. I really appreciate that. > > I think we are on the right way now. There are just two Problems left. > > First: In fact it should not be 612 times 2 different regressions, but > rather 612 times one regression with two variables. So it would look roughly > like this: stockreturn = beta0 + beta1*indexreturn1 + beta2*indexreturn2 + > errorterm (please keep the mailing list on cc: -- reply-to-all) So then use: ols stockreturn const indexreturn1 indexreturn2 matrix betas = betas | $coeff # or maybe transp($coeff) -sven
