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

[Nahla Betelmal <nahlaib@gmail.com>]

Thanks Nick for the reply, I tried that as well, but it gave me
missing adjusted R-squared, although the value of R-squared was
available. So I assumed that something wrong with this command,
because the papers reported adjusted R-square.

Why the adjusted R square is missing? It would be great if there is a
way to get it.

Also, I wonder if there is another way than statsby to get the mean of
the regressions betas and mean adjusted R square and matched standard
errors.

Many thanks again

Nahla

On 30 July 2013 15:09, Nick Cox <njcoxstata@gmail.com> wrote:
> 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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