help on regression by subsets in dataset

Hi Everyone

May I request for a small help while performing the regression analysis.

I would like to know is there any possibility of conducting the
regression for different data subsets (in the same data file),
classified on the basis of "grouping variable". The alternative for
this is running the regression for n number of times which you all
know is quite cumbersome.

Thank you for your kind attention and help

rgds

krishna