ls estimation of each crosssection in panel data

[neptunhiker]

Hi everyone,

my workfile is set up as a dated panel structure. Let's say I have 3 crosssections for each of my two series (seriesA and seriesB) and I would like to estimate a Single Index Model (seriesA=constant + Beta*seriesB) for each crosssection. The only way I have found to do that is to change the sample for every crosssection. Therefore I would have to change the sample three times and following every change of the sample I would estimate the regression. For 3 crosssections that's no problem, but I will have between 100 and 200 in my real data set. So, is there any way that I could estimate a ls regression for each of my crosssections without changing the sample everytime?

Thanks a lot for help or suggestions.

[neptunhiker]

I think I found a workaround that is not exactly state of the art, but I get results. Here it is:

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'create a panel with 3 ID series - xyz create a 1990 2020 3 alpha id = "X" smpl if @crossid=2 id = "Y" smpl if @crossid=3 id = "Z" pagestruct @date(dateid) id 'make some data series series seriesA=nrnd series seriesB = nrnd ' Define number of crosssections scalar N=@max(crossid) ' Estimate regression for every crosssection for !i=1 to N smpl if crossid=!i equation aaa!i.ls seriesA c seriesB next ' Reset to full range smpl @all ' freeze equations for !i=1 to N freeze(tab!i) aaa!i next ' make parent table table cross_reg_results ' copy regression results of each crosssection regression in parent table for !i=1 to N for !k=!i+3 to !i+3 tab!i.copyrange b11 d11 cross_reg_results b!k tab!i.copyrange b12 d12 cross_reg_results e!k next next ' Delete frozen tables for !i=1 to N delete tab!i next ' Delete estimated equations for !i=1 to N delete aaa!i next ' Include crosssection ID in parent table for !i=4 to N+3 cross_reg_results(!i,1)=!i-3 next ' Define headers of parent table cross_reg_results(3,1)="Crosssection" cross_reg_results(3,2)="Alpha" cross_reg_results(3,3)="Std. Error" cross_reg_results(3,4)="t-Statistic" cross_reg_results(3,5)="Beta" cross_reg_results(3,6)="Std. Error" cross_reg_results(3,7)="t-Statistic" ' Define title of parent table cross_reg_results(1,1)="Regression results of Single Index Model" ' show parent table show cross_reg_results

It is really quite complicated for such a trivial problem, therefore I still hope that there is an easier solution already implemented in eViews. Maybe some of you have an idea how to solve this. Thanks a lot.

[EViews Glenn]

For the 100 to 200 cross-section case, I'd just estimate the fully interacted model

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equation aaa.ls seriesA @expand(@crossid) seriesB*@expand(@crossid)

Alternately, you may reshape your data as a pool and use the pool tools.