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


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
>>>> ---------------------------------
>>>> *
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>>> *
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>>
>>
>>
>> --
>> ---------------------------------
>> Maarten L. Buis
>> WZB
>> Reichpietschufer 50
>> 10785 Berlin
>> Germany
>>
>> http://www.maartenbuis.nl
>> ---------------------------------
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-- 
---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------
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