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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: RE: extract t-values |

Date |
Fri, 7 Nov 2008 13:47:23 -0000 |

Quite apart from several other comments, some repeated, note that quite what these P-values mean collectively is highly unclear. Overlapping windows of time series cannot be independent of each other! You would be fighting with at least three issues simultaneously, overlap; inference for related time series; and multiple comparisons! Conversely, if you just want the P-value as an indication of strength of relationship, then go for a measure of strength of relationship that is less fragile and more directly related to the (social) science of what you are doing. Nick n.j.cox@durham.ac.uk Bastian Steingros > The thing is I run many regressions. My dataset consists of data from > 1950 to 1995. I want to run regression for 5-year-time-windows only, > that is, the first time window is 1950-1955 etc. > To put all the statistics from the regression table into my dataset > simplifies my task because I then can reduce my sample to those time > windows where all the regression coefficient are at least significant > at the 5% level (for example by using: bys window: keep if > p_value=<0.05). > > That is the reason why I want to calculate the t-values and, in the > next step, the p-values separately. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**Re: st: RE: extract t-values***From:*"Bastian Steingros" <Steingros@gmx.de>

**Re: st: RE: extract t-values***From:*Maarten buis <maartenbuis@yahoo.co.uk>

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