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

[Nahla Betelmal <nahlaib@gmail.com>]

Thank you, I will keep looking and searching and will let you know if
I find how to it (both statistically and command wise).
Many thanks again, I highly appreciate it

Nahla

On 5 July 2013 14:48, Maarten Buis <maartenlbuis@gmail.com> wrote:
> I agree that the mean t-statistic is not very useful. I just
> interpreted your initial question as that you wanted to know that, so
> I gave it to you. Also, look at the dataset that -statsby- created. If
> you find the formula the author used, you in all likelihood want to
> use that dataset to do the manipulations.
>
> -- Maarten
>
> On Fri, Jul 5, 2013 at 3:38 PM, Nahla Betelmal <nahlaib@gmail.com> wrote:
>> Thanks again. This is one of the pioneer papers in the field if not
>> the first. Again thanks for the mathematics you gave me. But I do
>> believe that it is not the right way "statistically" to get the
>> matched t-statistics (can not be the mathematical mean of
>> t-statistics) . I will keep looking in other statistical references
>> how to do it, and I will search other Stata sources for the Stata
>> command, there must be one! The paper mentions that the authors used
>> SAS.
>>
>> Thank you again, I am very grateful for your time and try to help.
>> Very kind of you
>>
>> Nahla
>>
>> On 5 July 2013 14:26, Maarten Buis <maartenlbuis@gmail.com> wrote:
>>> 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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>>>> *
>>>> *   For searches and help try:
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>>>
>>>
>>>
>>> --
>>> ---------------------------------
>>> Maarten L. Buis
>>> WZB
>>> Reichpietschufer 50
>>> 10785 Berlin
>>> Germany
>>>
>>> http://www.maartenbuis.nl
>>> ---------------------------------
>>> *
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>> *
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>
>
>
> --
> ---------------------------------
> Maarten L. Buis
> WZB
> Reichpietschufer 50
> 10785 Berlin
> Germany
>
> http://www.maartenbuis.nl
> ---------------------------------
> *
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*
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