How to estimate one coefficient for several independent variables?

#1
Hello,

I want to make a regression in Stata with some of the independent variables constituting a dimension for which I want to estimate just one coefficient. So I somehow have to merge the variables into one variable or possibly a vector(?), but I have no clue how to do this. Can someone help me out?

Thanks,
Reinder
 

Masteras

TS Contributor
#2
The only way to do this (at least I can think) is via PCA. Do PCA on the independent variables and keep the first principal component, a single vector. Then regress that.