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From |
Richard Williams <Richard.A.Williams.5@ND.edu> |

To |
statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu |

Subject |
Re: st: return of p-value for beta after regress command |

Date |
Sun, 01 Jan 2006 17:25:40 -0500 |

At 04:10 PM 1/1/2006, Colin Cooke wrote:

Here is a quick and dirty solution. You'll need to modify the calculation of p if the sample is too small to justify a z approximation, i.e. use the t distribution instead.I am interested in looking at the p-value for each beta after running a series of regression commands. I have a program that performs regression after each "leave one out" iteration in order to determine how infuential outliers effect the beta coefficients and p-values for my model. Unfortunately, I am unable to determine how to get stata to return the p-value for each beta coefficient after a -regress- command. -ereturn list- does not appear to have the beta p-values as an option. Can anyone help? Thanks.

* Run the regression first, then run this

mat b = e(b)

mat v = e(V)

local k = colsof(b)

mat z = J(1, `k', 0)

mat p = J(1, `k', 0)

forval j = 1/`k' {

local z = b[1,`j'] / sqrt( v[`j', `j'] )

local p = 2* (1 - normal(abs(`z' )) )

mat z[1,`j'] = `z'

mat p[1,`j'] = `p'

}

mat list z

mat list p

-------------------------------------------

Richard Williams, Notre Dame Dept of Sociology

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**References**:**st: return of p-value for beta after regress command***From:*Colin Cooke <crcooke@gmail.com>

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