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

[Nahla Betelmal <nahlaib@gmail.com>]

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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>> *
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>
>
>
> --
> ---------------------------------
> Maarten L. Buis
> WZB
> Reichpietschufer 50
> 10785 Berlin
> Germany
>
> http://www.maartenbuis.nl
> ---------------------------------
> *
> *   For searches and help try:
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> *   http://www.ats.ucla.edu/stat/stata/
*
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