I'd like to do loop regressions. My data is panel data, for each month, I have several firms and several variables(X1:X3). For each month, I want to do simple cross sectional regression for each variables. In this case, I have 3 cross sectional regressions for each month.
Once I get the coefficients C1:C3 for each months, I want to add it back to my original dataset, and firms A, B, C for each month share the C1:C3.