5:47 p.m.
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
7:01 p.m.
New subject: Panel Data, print out estimated betas
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@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
12:14 p.m.
New subject: Panel Data, print out estimated betas
Peter Blömeke schrieb:
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?
The first one is easy, add the --quiet option:
ols stockreturn const indexreturn1 indexreturn2 --quiet
For the second one we would need to see gretl's error message. Maybe
some missing data somewhere in the middle?
-sven
3:24 p.m.
New subject: Panel Data, print out estimated betas
On Wed, 10 Mar 2010, [iso-8859-1] Peter Blömeke wrote:
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.
Here's a tested example of doing the sort of thing you want,
as interpreted by Sven. I'm using one of the panel datasets
supplied with gretl which has 6 cross-sectional units. The script
runs two regressions for each unit and stores the slope
coefficients, producing a 6 x 2 matrix once all is done.
<script>
open greene14_1.gdt
logs C Q PF
scalar numofunits = max($unit)
matrix betas = {}
loop for i=1..numofunits
smpl $unit=i --restrict
ols l_C 0 l_Q --quiet
b1 = $coeff[2]
ols l_C 0 l_PF --quiet
b2 = $coeff[2]
betas |= { b1, b2 }
smpl full
endloop
print betas
</script>
Allin Cottrell
8:21 p.m.
New subject: Panel Data, print out estimated betas
Thank you Allin for the code. After running the code the output looks like
this now:
gretl version 1.8.7
Current session: 2010-03-11 21:09
? scalar numofunits = max($unit)
Generated scalar numofunits = 612
? matrix betas = {}
Generated matrix betas
? loop for i=1..numofunits
smpl $unit=i --restrict
ols Aktie const Leitregion CDAX --quiet
b1 = $coeff[2]
b2 = $coeff[3]
betas |= { b1, b2 }
smpl full
endloop
loop: i = 1
? smpl $unit=i --restrict
Full data set: 110160 observations
Current sample: 180 observations
? ols Aktie const Leitregion CDAX --quiet
? b1 = $coeff[2]
? b2 = $coeff[3]
? betas |= { b1, b2 }
? smpl --full
Full data range: 1:001 - 612:180 (n = 110160)
loop: i = 2
...
loop: i = 16
? smpl $unit=i --restrict
Full data set: 110160 observations
Current sample: 180 observations
? ols Aktie const Leitregion CDAX --quiet
Missing values encountered
> ols Aktie const Leitregion CDAX --quiet
Unfortunately it stops here and I don't know why. Is it a problem with
missing values? Does Gretl has to know somehow how to work with missing
values?
-----Ursprüngliche Nachricht-----
Von: gretl-users-bounces(a)lists.wfu.edu
[mailto:gretl-users-bounces@lists.wfu.edu] Im Auftrag von Allin Cottrell
Gesendet: Donnerstag, 11. März 2010 16:24
An: Gretl list
Betreff: Re: [Gretl-users] Panel Data, print out estimated betas
On Wed, 10 Mar 2010, [iso-8859-1] Peter Blömeke wrote:
Ok, regressions are working perfectly now but gretl prints out a
complete regression-output for each model and stops at i = 16
instead of 612.
Here's a tested example of doing the sort of thing you want,
as interpreted by Sven. I'm using one of the panel datasets
supplied with gretl which has 6 cross-sectional units. The script
runs two regressions for each unit and stores the slope
coefficients, producing a 6 x 2 matrix once all is done.
<script>
open greene14_1.gdt
logs C Q PF
scalar numofunits = max($unit)
matrix betas = {}
loop for i=1..numofunits
smpl $unit=i --restrict
ols l_C 0 l_Q --quiet
b1 = $coeff[2]
ols l_C 0 l_PF --quiet
b2 = $coeff[2]
betas |= { b1, b2 }
smpl full
endloop
print betas
</script>
Allin Cottrell
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Gretl-users(a)lists.wfu.edu
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9:12 p.m.
New subject: Panel Data, print out estimated betas
On Thu, 11 Mar 2010, [iso-8859-1] Peter Blömeke wrote:
Thank you Allin for the code. After running the code the output looks
like
this now:
gretl version 1.8.7
Current session: 2010-03-11 21:09
? scalar numofunits = max($unit)
Generated scalar numofunits = 612
? matrix betas = {}
Generated matrix betas
? loop for i=1..numofunits
> smpl $unit=i --restrict
> ols Aktie const Leitregion CDAX --quiet
> b1 = $coeff[2]
> b2 = $coeff[3]
> betas |= { b1, b2 }
> smpl full
> endloop
loop: i = 1
? smpl $unit=i --restrict
Full data set: 110160 observations
Current sample: 180 observations
? ols Aktie const Leitregion CDAX --quiet
? b1 = $coeff[2]
? b2 = $coeff[3]
? betas |= { b1, b2 }
? smpl --full
Full data range: 1:001 - 612:180 (n = 110160)
loop: i = 2
...
loop: i = 16
? smpl $unit=i --restrict
Full data set: 110160 observations
Current sample: 180 observations
? ols Aktie const Leitregion CDAX --quiet
Missing values encountered
>> ols Aktie const Leitregion CDAX --quiet
Unfortunately it stops here and I don't know why. Is it a problem with
missing values? Does Gretl has to know somehow how to work with missing
values?
Gretl can generally handle missing observations fine. I suspect
there's a serious hole in the dataset -- something like all
observations missing for Aktie for unit 16? Using current CVS
gretl you could do:
catch ols Aktie const Leitregion CDAX --quiet
if $error
printf "error running OLS for unit %d\n", i
else
b1 = $coeff[2]
b2 = $coeff[3]
betas |= { $i, b1, b2 }
endif
The first column of betas would hold the unit number for units
where the regression was successful.
Allin Cottrell
4:32 p.m.
New subject: Panel Data, print out estimated betas
Hi Sven and Allin,
finally everything is working und results are as expected. Indeed, for some
companies no values where attached by construction. After eliminating round
about 100 of 600 companies, the code you gave me worked perfect. My fault!
You helped me a lot, thanks. I already tried to solve the problem in Excel,
but this way is much easier and more elegant.
Thanks again,
Peter
-----Ursprüngliche Nachricht-----
Von: gretl-users-bounces(a)lists.wfu.edu
[mailto:gretl-users-bounces@lists.wfu.edu] Im Auftrag von Allin Cottrell
Gesendet: Donnerstag, 11. März 2010 22:12
An: Gretl list
Betreff: Re: [Gretl-users] Panel Data, print out estimated betas
On Thu, 11 Mar 2010, [iso-8859-1] Peter Blömeke wrote:
Thank you Allin for the code. After running the code the output looks
like
this now:
gretl version 1.8.7
Current session: 2010-03-11 21:09
? scalar numofunits = max($unit)
Generated scalar numofunits = 612
? matrix betas = {}
Generated matrix betas
? loop for i=1..numofunits
> smpl $unit=i --restrict
> ols Aktie const Leitregion CDAX --quiet
> b1 = $coeff[2]
> b2 = $coeff[3]
> betas |= { b1, b2 }
> smpl full
> endloop
loop: i = 1
? smpl $unit=i --restrict
Full data set: 110160 observations
Current sample: 180 observations
? ols Aktie const Leitregion CDAX --quiet
? b1 = $coeff[2]
? b2 = $coeff[3]
? betas |= { b1, b2 }
? smpl --full
Full data range: 1:001 - 612:180 (n = 110160)
loop: i = 2
...
loop: i = 16
? smpl $unit=i --restrict
Full data set: 110160 observations
Current sample: 180 observations
? ols Aktie const Leitregion CDAX --quiet
Missing values encountered
>> ols Aktie const Leitregion CDAX --quiet
Unfortunately it stops here and I don't know why. Is it a problem with
missing values? Does Gretl has to know somehow how to work with missing
values?
Gretl can generally handle missing observations fine. I suspect
there's a serious hole in the dataset -- something like all
observations missing for Aktie for unit 16? Using current CVS
gretl you could do:
catch ols Aktie const Leitregion CDAX --quiet
if $error
printf "error running OLS for unit %d\n", i
else
b1 = $coeff[2]
b2 = $coeff[3]
betas |= { $i, b1, b2 }
endif
The first column of betas would hold the unit number for units
where the regression was successful.
Allin Cottrell
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6 comments
4 participants
participants (4)
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Allin Cottrell -
Peter Blömeke -
Peter Blömeke -
Sven Schreiber