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2-pass regression with time series data
Posted: Thu Oct 02, 2014 4:17 am
by fan
Hi Tom,
I am trying to apply 2-pass regression with time series data I have. I would like to how to use the coefficient estimates from my first equation as my regressors in my second equation. Many Thanks
Re: 2-pass regression with time series data
Posted: Thu Oct 02, 2014 11:24 am
by TomDoan
Isn't that the same basic idea as Fama and Macbeth? Just save the coefficients into series and use them as data in the second regression.
Re: 2-pass regression with time series data
Posted: Thu Oct 02, 2014 4:52 pm
by fan
TomDoan wrote:Isn't that the same basic idea as Fama and Macbeth? Just save the coefficients into series and use them as data in the second regression.
Thank you, Tom. I tried as you suggested here. but my code did not work. Could you please kindly take a look my code?
Code: Select all
linreg y
# constant x
compute beta1=%beta(1), beta2=%beta(2)
linreg y
# beta1 beta2
Re: 2-pass regression with time series data
Posted: Thu Oct 02, 2014 5:42 pm
by TomDoan
Don't you need to run separate regressions over t for each SB (whatever the latter index set is) and collect the coefficients from those?
Re: 2-pass regression with time series data
Posted: Thu Oct 02, 2014 7:03 pm
by fan
TomDoan wrote:Don't you need to run separate regressions over t for each SB (whatever the latter index set is) and collect the coefficients from those?
Thank you for your quick reply. I thought I could have the coefficients for each SB from my first regression.Is it not right?
Code: Select all
linreg sb1
# constant x
compute beta1=%beta(1), beta2=%beta(2)
linreg sb1
# beta1 beta2
Re: 2-pass regression with time series data
Posted: Thu Oct 02, 2014 8:02 pm
by TomDoan
No. One LINREG does one regression. You need a whole collection of regressions at the first stage.