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Subject: Cross-Sectional Regression
Date: Thu, 19 Feb 2009 23:46:02 +0000 (UTC)
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Hey folks,

I've a question concerning running cross sectioinal regressions in ML and getting regression statistics.

Suppose I've a dependent variable Y (100 return observations x 1000 firms) and I've 5 beta coefficients (5x1) that should explain the cross section of Y. So for each one of the 100 return observations, I would like to do a cross sectional regression on the 1000 firms reporting me coefficients, t-stats, standard errors and Rsquared.

Is there a clever way to do it? The function regress does not seem to work in the case of cross-sectional regressions.

I'd really appreciate your help.

Thank you.

Kind regards,
Hans