有3000只股票20年的日收益率(re)及市场收益率(mre),需要用market model(re=a+beta*mre+e)估计出每只股票每年的beta值,然后把beta值和每次回归的残差标准差提取出来,形成以股票和年份为主导的新的面板数据。数据如下图,是20年,3000家公司的每日数据,拜求高手指点要怎么做~
Names Date | Exchange Code | Ticker Symbol | Returns | market retrun |
20080102 | 3 | MSFT | -0.010674 | -0.011799 |
20080103 | 3 | MSFT | 0.004259 | -0.000951 |
20080104 | 3 | MSFT | -0.02799 | -0.025649 |
20080107 | 3 | MSFT | 0.00669 | 0.000202 |
20080108 | 3 | MSFT | -0.033516 | -0.017021 |
20080109 | 3 | MSFT | 0.029596 | 0.010008 |
20080110 | 3 | MSFT | -0.003194 | 0.008399 |
20080111 | 3 | MSFT | -0.012234 | -0.013906 |
20080114 | 3 | MSFT | 0.014155 | 0.010461 |
20080115 | 3 | MSFT | -0.01134 | -0.024732 |
20080116 | 3 | MSFT | -0.022647 | -0.006669 |
20080117 | 3 | MSFT | -0.003611 | -0.027708 |
20080118 | 3 | MSFT | -0.00302 | -0.005568 |
20080122 | 3 | MSFT | -0.0309 | -0.00942 |
20080123 | 3 | MSFT | -0.001876 | 0.019785 |
20080124 | 3 | MSFT | 0.04134 | 0.012549 |
20080125 | 3 | MSFT | -0.009323 | -0.012996 |
20080128 | 3 | MSFT | -0.006679 | 0.017169 |
20080129 | 3 | MSFT | -0.003668 | 0.006383 |
20080130 | 3 | MSFT | -0.01227 | -0.005362 |
20080131 | 3 | MSFT | 0.012422 | 0.014949 |
20080201 | 3 | MSFT | -0.065957 | 0.015984 |
20080204 | 3 | MSFT | -0.008532 | -0.008978 |
20080205 | 3 | MSFT | -0.037098 | -0.030844 |
20080206 | 3 | MSFT | -0.01892 | -0.007995 |
20080207 | 3 | MSFT | -0.014025 | 0.007726 |
20080208 | 3 | MSFT | 0.015647 | -0.002061 |
20080211 | 3 | MSFT | -0.012255 | 0.005804 |
20080212 | 3 | MSFT | 0.004608 | 0.006273 |
20080213 | 3 | MSFT | 0.021877 | 0.014371 |
20080214 | 3 | MSFT | -0.015884 | -0.01321 |
20080215 | 3 | MSFT | -0.002807 | -0.000453 |
20080219 | 3 | MSFT | -0.008797 | 0.00061 |