I’ve got a big issue to solve. I must implement an event study on a sample of 100 firms.
In order to avoid to implement 100 regressions I try to use a loop:
“list ylist = 1 3 5 7 9 \
11 13 15 17 19 \
21 23 25 27 29 \
31 33 35 37 39 \
41 43 45 47 49 \
51 53 55 57 59 \
61 63 65 67 69 \
71 73 75 77 79 \
81 83 85 87 89 \
91 93 95 97 99 \
101 103 105 107 109 \
111 113 115 117 119 \
121 123 125 127 129 \
131 133 135 137 139 \
141 143 145 147 149 \
151 153 155 157 159 \
161 163 165 167 169 \
171 173 175 177 179 \
181 183 185 187 189 \
191 193 195
list xlist = 2 4 6 8 \
10 12 14 16 18 \
20 22 24 26 28 \
30 32 34 36 38 \
40 42 44 46 48 \
50 52 54 56 58 \
60 62 64 66 68 \
70 72 74 76 78 \
80 82 84 86 88 \
90 92 94 96 98 \
100 102 104 106 108 \
110 112 114 116 118 \
120 122 124 126 128 \
130 132 134 136 138 \
140 142 144 146 148 \
150 152 154 156 158 \
160 162 164 166 168 \
170 172 174 176 178 \
180 182 184 186 188 \
190 192 194 196
loop foreach i ylist --progressive
loop foreach j xlist --progressive
ols ylist.$i const xlist.$j
genr alpha = $coeff(0)
genr beta = $coeff(xlist.$j)
store vectors.gdt alpha beta
endloop
endloop
open vectors.gdt”
ylist and xlist are the lists that contain my independent variables.
Unfortunately, such code regress the first dependent variable on the other 100, then the second on the same 100 and so on and so forth.
How I can write a loop that only regress the variable 1 on the variable 2, the variable 3 on the 4 etc?
How I can store the coefficients?