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

[Nahla Betelmal <nahlaib@gmail.com>]

Dear Maarten,
Thanks for the reply, but I do not think that I misunderstood the
articles. Kindly have a look at Table 3 and its notes, page 44 in the
following link.

http://econ.au.dk/fileadmin/Economics_Business/Education/Summer_University_2012/6308_Advanced_Financial_Accounting/Advanced_Financial_Accounting/7/Dechow_Dichev_TAR_2002.pdf

Also, I have humble knowledge in statistic, according to what I know
that we can have mean coefficients and R2, but it is wrong to attach
the mean coefficient with mean  t-statistics (and hence standard
error). (we can do it mathematically but it is wrong conceptually)

For example we can not say that the t statistics for B1+B2 is
t-statistic(B1) + t-statistics(B2).

 It needs to be derived from the distribution of the coefficients.
Unfortunately I do not know how to do it.

I would highly appreciate any help in that

Thank you again

Nahla




On 5 July 2013 13:39, Maarten Buis <maartenlbuis@gmail.com> wrote:
> 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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