CODEWITHSUNDEEP
stata
user1542743
user1542743

Reputation: 105

Stata -- Durbin Watson statistic by company id in a large dataset

I am trying to run regressions in Stata by company_id using a large dataset. The goal is to get a line for each company_id with results of the regression. I am using the following code that gives me the beta coefficient, std error, adj r-squared and N. But I also need to include the Durbin Watson statistic and have not been successful doing that so far. Can someone help? Thanks.

statsby _b _se r2 = e(r2_a) _N, by (company_id) saving($path\SC_results_`i'.dta, replace): regress ret sptr_ret

Upvotes: 0

Views: 328

Answers (1)

Aspen Chen
Aspen Chen

Reputation: 735

A small program that combines regress and dwstat into one command should help. Here's an attempt.

capture program drop reg_dw
program reg_dw, rclass
syntax varlist
regress `varlist'
dwstat
return scalar dw=r(dw)
end

webuse invest2,clear
gen index=_n
tsset index
statsby _b _se r2 = e(r2_a) dw=r(dw) _N, by (company) saving(x.dta, replace): reg_dw invest market
use x, clear
tab _eq2_dw

Upvotes: 2

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