I looking for a way to estimate various models (lets say 10) and save a certain parameter value from each estimation in a vector with stata.
Im more of a R-guy and here it is very simple working example with R-code
n1 <- 100
n2 <- 10
group <- rep(1:10,each=n1)
data <- as.data.frame(cbind(rnorm(n1*n2,0,1),rnorm(n1*n2,0,1),group))
dimnames(data)[[2]] <- c("y","x","group")
val <- names(table(group))
estimates <- vector(mode="numeric",length=length(val))
for( i in 1:length(val)){
j <- which(data$group==val[i])
estimates[i] <- coef(lm(y[j] ~ x[j], data=data))[2]
}
Alternatively
library(nlme)
mod1 <- lmList(y~x | group, data=data)
coef(mod1)[,2]
And yes, unfortunately I need to use stata :-(
What is you ultimate objective? The paradigms of Stata and R are different, so knowing the ultimate goal would help. In R I tend to think in terms of vectors, but not in Stata (vectors don't really exist in Stata). If you want a table, then I suggest the estout package from SSC (ssc install estout). If just want the coefficients as an end in themselves, then I suggest statsby.
clear
version 11.2
set seed 2001
* generate your data
set obs 1000
generate y = rnormal()
generate x = rnormal()
generate group = 1 + floor((_n - 1) / 100)
* if you want a table
* you'll need the estout package from SSC (ssc install estout)
eststo clear
forvalues i = 1/10 {
eststo : regress y x if (group == `i')
}
esttab
* if you just the coefficients
statsby, by(group) clear : regress y x
list
Both esttab and statsby have lots of options, so check out the help files.
Update: It seems you want time series betas by group (here a firm). In terms of economics I think you would want rolling regressions, but this framework should get you started.
clear
version 11.2
set seed 2001
* generate your data
set obs 1000
generate y = rnormal()
generate x = rnormal()
generate firm = 1 + floor((_n - 1) / 100)
generate year = 1 + mod((_n - 1), 100)
* regress by firm
xtset firm year
statsby _b, by(firm) saving(temp, replace) : regress y x
* then merge back
merge m:1 firm using temp
list in 1/20