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David Ashcraft <email@example.com>
Sat, 26 Nov 2011 02:11:13 -0800 (PST)
This is more like an econometric than a Stata question. I am little lost on the following scenario:
The situation is: I want to measure the performance of managers, who has a specific approach against those who do not. I have several individual managers in each category. One way is to regress the performance of these managers against their benchmark for the whole data using
-regress manager benchmark, by(belief)
The second option is to run individual regression on each manager and get the coefficients of individual regressions and run a ttest alpha, by(belief) .
Now the question is, how different is the result from the ttest of alpha from that of the alpha of the regression equation.
Any help will be really appreciated.
If anyone can suggest an academic paper on similar scenarios, that would be a great help.
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