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

[Nick Cox <njcoxstata@gmail.com>]

Quite where the error is coming from is for you to tell us.

Meanwhile this seems confused:

 forval  i= 1/50 {
       statsby _b e(r2)  e(r2_a) , by(industry):xtfmb DV IV1 IV2 IV3 if
 industry== `i'
}

Much of the point of the -statsby- command is that it does the looping
for you. It seems more likely that you want

statsby _b e(r2)  e(r2_a) , by(industry): xtfmb DV IV1 IV2 IV3

Nick
njcoxstata@gmail.com


On 30 July 2013 14:43, Nahla Betelmal <nahlaib@gmail.com> wrote:
> Hi Richard, thanks for your previous comments, and sorry for the delay
> in replying. I had to do some readings to see how researchers solve
> this issue.
>
> In industry-year context rather than firm-year context, authors seem
> to report mean of the mean rather than just Fama-MacBeth  time series
> mean.
>
> first they perform Fama-MacBeth on each industry alone to get the time
> series mean . In other words, they perform cross-sectional  on the
> firms-years observations in each industry to produce  time series mean
> of each industry. This could be easily obtained by the following
> Fama-MacBeth command available in Stata:
>
> tsset firm_id year
>
> forval  i= 1/50 {
>     xtfmb DV IV_1 IV_2 IV_3 if  industry== `i'
> }
>
> Therefore, there will be 50  time series mean betas, 50 mean R-square
> for the 50 industries I have. This is easy to execute.
>
> The second stage is to take the mean of these 50 time series means
> beta and the mean of these 50 means R-square, and of course the
> standard error and the t-stat of mean of the mean betas.
>
> In this way, they can obtain the time series mean across industries
> (rather than firms).
>
> Unfortunately, due to my humble knowledge with Stata, I have not
> figured out the command of how to get stage two (i.e. mean of the mean
> betas and matched standard error). I tried the following but there is
> an error
>
> forval  i= 1/50 {
>       statsby _b e(r2)  e(r2_a) , by(industry):xtfmb DV IV1 IV2 IV3 if
>  industry== `i'
> }
>
> collapse (mean) _b_cons _b_IV1 _b_IV2  _b_IV3  _eq2_stat_1 _eq2_stat_2///
>  (semean) _se_cons = _b_cons _se_IV1 = _b_IV1  _se_IV2 = _b_IV2
> _se_IV3 = _b_IV3
>
> foreach v in cons IV1 IV2 IV3 {
> generate _t_`v' = _b_`v' / _se_`v'
>  }
>
> I got error:
>
> no; data in memory would be lost
> r(4);
>
>
> If I remove  by(industry) in the first line of the loop , I got an error as well
>
> industry not found
> r(111);
>
>
> I would highly appreciate it if you can help me to figure out the
> right command. Also, I do hope this thread to be useful for other
> people who face this issue as well.
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