Re: st: How to get mean coefficients and t-statistics from several regressions

[Maarten Buis <maartenlbuis@gmail.com>]

On Fri, Jul 5, 2013 at 2:24 PM, Nahla Betelmal wrote:
> My data represents 100 industries  across certain time horizon. It
> seems from the literature that a regression is run for each industry
> (i.e. 100 regressions are run), however, only the mean coefficients,
> mean R-square, and t statistic based on the distribution of 100
> coefficients for each variable obtained from 100 regressions are
> reported.
>
> I can run the 100 regression in a loop, however, I do not know how can
> I get  the mean coefficients, the mean R-square, and  t statistic
> based on the distribution of several coefficients for each variable
> obtained from several regressions?

I strongly suspect that you misunderstood what was done in those
articles, but you can do what you ask:

*------------------ begin example ------------------
sysuse auto, clear
statsby _b _se e(r2), by(foreign): regress mpg gear turn

// average coefficient for turn
sum _b_turn

// average t-value for turn
gen t_turn = _b_turn / _se_turn
sum t_turn

// average R2
sum _eq2_stat_1
*------------------- end example -------------------
* (For more on examples I sent to the Statalist see:
* http://www.maartenbuis.nl/example_faq )

---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------
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