Panel Data, Individual Specific Regression

Hi All,

I have an implementation question for stata. I have a panel data set with several thousand individuals and several dozen months of data for each.

I actually want to do something which makes my panel data completely irrelevant, which is to run several thousand (one for each individual) separate regressions of the form

y_it = c_i + B_i*X_t

Where B_i is an individual-specific vector of coefficients for some vector of X_t time-varying independent variables.

I realize that I can just do this with something like:

by i: reg y X

My question there a way to generate a matrix of the coefficients B that I can store, or save, or hide away somewhere for further analysis?

I really apologize if this is a stupid question or has been posted before. I've been searching for hours on all different sites for the answer--perhaps I really just don't know how to describe what I'm asking for.

Many thanks in advance for the help!

Hi there,

You can store the results from all your regression with est sto or generate a matrix in which each column corresponds to your B_i. For instance if you want to store all the results :

levelsof id, local(id)
foreach i of local id {
reg y X if id == `i'
est sto b`i'

To store the betas in a matrix create matrix like this : matrix A = e(b). You can combine this with the previous loop by doing smth like = matrix A = (A, e(b))

Hope this helps!