Help with a regression

[Benjamin Beqiri]

Hello, I need your help with my regression.

I calculated Return on Equity (roe) for four semesters(2019S1/2018S2/2020S1/2020S2 and this is my dependent variable) and my professor asked me to do a regression with the change in roe as the dependent variable and put in market value, leverage and market to book to see which one impacts more.
So I put "regress roe marketvalue markettobook leverage" but I don't have the impact between each semester but only the global impact during the four semesters. What command should I insert to give me the regression results for each semester?

Thanks to you

[Matthew Alexander]

Hi Benjamin,
To estimate separate regressions for each semester, run the following

levelsof semester, local(levs)
foreach s of local levs {
    reg roe marketvalue markettobook leverage if semester == "`s'"
}

Best,
Matt

[Benjamin Beqiri]

I tried but it did not work acutally

[Matthew Alexander]

Run the code as it appears now - I initially missed the fact that there were string characters in your variable semester.

[Benjamin Beqiri]

Is it possible to do just one regression showing all the variations by semester or do I have to do each one per semester ?

[Matthew Alexander]

Is it possible to do just one regression showing all the variations by semester or do I have to do each one per semester ?

You can either estimate one regression per semester, in line with the code I provide above.
Or, you can estimate just one regression and then compute predictions/marginal effects at each level of semester using - margins-. This latter method would allow you to show how the effect of x varies by semester. The Stata manual for - margins - is highly informative; see https://www.stata.com/manuals/rmargins.pdf

[Benjamin Beqiri]

You have a picture of it, I just want for each semester the variations of firmsize

[Matthew Alexander]

If you mean to say that you want to know how the effect of firmsize on roe varies by semester, then, yes, I can give you the code.

First, estimate the model

reg roe i.halfyear firmsize marktobook lvrg

Then, you may calculate, say, the Average Marginal Effect (AME) of firmsize on roe across semesters

margins, dydx(firmsize) over(halfyear) atmeans

If this is not what you want, then try to explain more clearly what it is that you do want.
Also, I note that you attempted to use xtset in the above screenshot. If you have a panel dataset (repeated observations of clusters e.g. firms), then you almost ceartainly need to ensure that you declare your panel structure via - xtset - and use xtreg (either option - re - or -fe -) so as to account for unobserved differences among clusters (unobserved heterogeneity).