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| From | Maarten Buis <maartenlbuis@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: How to get mean coefficients and t-statistics from several regressions |
| Date | Fri, 5 Jul 2013 15:26:59 +0200 |
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 >> --------------------------------- >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/faqs/resources/statalist-faq/ >> * http://www.ats.ucla.edu/stat/stata/ > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ -- --------------------------------- Maarten L. Buis WZB Reichpietschufer 50 10785 Berlin Germany http://www.maartenbuis.nl --------------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/