Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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 15:48:28 +0200 |

I agree that the mean t-statistic is not very useful. I just interpreted your initial question as that you wanted to know that, so I gave it to you. Also, look at the dataset that -statsby- created. If you find the formula the author used, you in all likelihood want to use that dataset to do the manipulations. -- Maarten On Fri, Jul 5, 2013 at 3:38 PM, Nahla Betelmal <nahlaib@gmail.com> wrote: > 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 >>>> --------------------------------- >>>> * >>>> * 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/ > * > * 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/

**Follow-Ups**:**Re: st: How to get mean coefficients and t-statistics from several regressions***From:*Nahla Betelmal <nahlaib@gmail.com>

**References**:**st: How to get mean coefficients and t-statistics from several regressions***From:*Nahla Betelmal <nahlaib@gmail.com>

**Re: st: How to get mean coefficients and t-statistics from several regressions***From:*Maarten Buis <maartenlbuis@gmail.com>

**Re: st: How to get mean coefficients and t-statistics from several regressions***From:*Nahla Betelmal <nahlaib@gmail.com>

**Re: st: How to get mean coefficients and t-statistics from several regressions***From:*Maarten Buis <maartenlbuis@gmail.com>

**Re: st: How to get mean coefficients and t-statistics from several regressions***From:*Nahla Betelmal <nahlaib@gmail.com>

- Prev by Date:
**Re: st: How to get mean coefficients and t-statistics from several regressions** - Next by Date:
**Re: st: How to get mean coefficients and t-statistics from several regressions** - Previous by thread:
**Re: st: How to get mean coefficients and t-statistics from several regressions** - Next by thread:
**Re: st: How to get mean coefficients and t-statistics from several regressions** - Index(es):