09-16-2014 07:22 AM
I have one very large dataset. I run the regression procedure using 'by var1 var2 var3', resulting in thousands of regressions. I would like to get the regression results along with the t-stats of the estimates to an output dataset. But I would also like to include the three variables I used in ''by var1 var2 var3' so that I can see which estimates belongs to which regression. This way, I will further be able to categorize the regression results based on these var1 var2 var3 variables later.
I will appreciate very much if you can help me. Thanks.
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