I'm going to study the relationship between the illiquidity and returns in stock markets, using the Amihud model proposed in the paper "Illiquidity and stock returns: cross-section and time-series effects" (2002). I would like to know if it is possible to automate the regression analysis. I've have more than 2000 stocks in the sample and I'd like to avoid to run each regression one-by-one, speeding the process up. Do you know if it is possible automate this process in Stata? or if is it possible to do that using some other statistical software (R, SAS, Matlab, Gretl,...) ? If it is, how could I do that?
You should look at foreach and forval as ways of looping.
forval i = 1/3 {
regress Ystock`i' Xstock`i'
}
would be an example if and only if there are variables with names like those you indicated. If you have other names, or a different data structure, a loop would still be possible.