Quite apart from several other comments, some repeated, note that quite
what these P-values mean collectively is highly unclear. Overlapping
windows of time series cannot be independent of each other! You would be
fighting with at least three issues simultaneously, overlap; inference
for related time series; and multiple comparisons! Conversely, if you
just want the P-value as an indication of strength of relationship, then
go for a measure of strength of relationship that is less fragile and
more directly related to the (social) science of what you are doing.
Nick
[email protected]
Bastian Steingros
> The thing is I run many regressions. My dataset consists of data from
> 1950 to 1995. I want to run regression for 5-year-time-windows only,
> that is, the first time window is 1950-1955 etc.
> To put all the statistics from the regression table into my dataset
> simplifies my task because I then can reduce my sample to those time
> windows where all the regression coefficient are at least significant
> at the 5% level (for example by using: bys window: keep if
> p_value=<0.05).
>
> That is the reason why I want to calculate the t-values and, in the
> next step, the p-values separately.
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