Re: [Gretl-users] Panel Data, print out estimated betas
So far I have I have developed my problem as follows:
My data consists of monthly stockreturns of 612 companies and corresponding
indexreturns of two stock indices. My data is organized as "stacked cross
section": All return of the first month of all 612 companies among each
other and then of the second month below that and so on. It is
110160x3-matrix.
Gretl should run 612 times one regression. So it would look roughly like
this: stockreturn = beta0 + beta1*indexreturn1 + beta2*indexreturn2 +
errorterm
In the end I need a 612x2-matrix with all beta1 and beta 2 coefficients.
Peter Blömeke
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Von: gretl-users-bounces(a)lists.wfu.edu
[mailto:gretl-users-bounces@lists.wfu.edu] Im Auftrag von Allin Cottrell
Gesendet: Mittwoch, 10. März 2010 18:17
An: Gretl list
Betreff: Re: [Gretl-users] Panel Data, print out estimated betas
On Wed, 10 Mar 2010, Sven Schreiber wrote:
Peter Blömeke schrieb:
> I need some help with an regression analysis I am running right now. The
> data consists of about 600 entities over 180 month and is organized as
> panel data.
>
> Here is my problem:
>
> I want to run a fixed effect panel regression with two independent
> (explanatory) variables. Gretl prints out the regression result and
> gives me one estimated beta for each variable. However, in a next step I
> need a estimated beta for each of the 600 entities in a list to do
> further analysis.
Hi Peter, I don't understand this last sentence. Assuming that for you
"beta" is the estimated coefficient vector, there is no separate beta
for each entity. The standard panel model has equal (homogeneous)
coefficients for all units. The only thing which is allowed to differ
between units are the constant terms. Do you want to recover the
estimated unit-specific constant terms?
If it's the unit-specific intercepts you're after, then you want
the "accessor" $ahat. See the Function Reference under the Help
menu.
panel y 0 x1 x2
series ahat = $ahat
print ahat --byobs
Allin Cottrell
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