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

[Maarten Buis <maartenlbuis@gmail.com>]

I would start with understanding the statistics before worying about
how to program it. I have only briefly looked at the paper, but I am
suspicious about its value. I might be wrong. Anyhow, what I have
given you is a way to create a dataset that contains the different
pieces of information from each regression. It is now up to you to
find a meaningful way to use those bits.

-- Maarten

On Fri, Jul 5, 2013 at 3:00 PM, Nahla Betelmal <nahlaib@gmail.com> wrote:
> 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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-- 
---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

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