Re: [Gretl-users] Panel Data, print out estimated betas

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

I > try it in English again. > > > Ich habe als abhängige Variable die monatlichen Aktienkursrenditen von

> Unternehmen über 180 Monate und als erklärende Variable die Rendite

> 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

> 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

like this: stockreturn = beta0 + beta1*indexreturn1 + beta2*indexreturn2 + errorterm