Oeps. my code contained an error, use: -gen p = 2*ttail(63,abs(t))- instead of -ttail(63,t)-
May: Why are you using e(N) (number of observations) as the degrees the degrees of freedom instead of number of observations - number of explanatory variables minus one?
-------begin correct code ---
sysuse auto, clear
reg price mpg rep78 headroom trunk weight
matrix a = vecdiag(e(V))
matrix b = (e(b)\a)'
svmat b
rename b1 beta
gen se = sqrt(b2)
gen t = beta/se
gen p = 2*ttail(63,abs(t))
--------- end correct code-----
Or use May's code
clear
sysuse auto
regress mpg len turn head gear
qui{
drop _all
mat b=e(b)'
mat se= vecdiag(cholesky(diag(vecdiag(e(V)))))'
gen vars=""
local names: rownames b
tokenize `names'
local num : word count `names'
set obs `num'
forvalues i=1/`num'{
replace vars= "``i''" in `i'
}
svmat b
svmat se
rename b1 coef
rename se1 se
gen t=coef/se
gen pvalue=2*ttail(e(N),abs(t))
gen lb=coef-invttail(e(N),0.025)*se
gen ub=coef+invttail(e(N),0.025)*se
}
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