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From | Nahla Betelmal <nahlaib@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 17:27:45 +0100 |
Yes, this is exactly what I meant. Thank you Richard. Especially for the note about time correlation and the great references. Thank you so much. Best Regards Nahla On 5 July 2013 15:27, Richard Herron <richard.c.herron@gmail.com> wrote: > I think you want the mean beta across industries and the t-stat based > on the associated SE. > > * begin code > sysuse auto, clear > statsby _b e(r2), by(rep78): regress price weight > > * get mean betas and R2 > collapse (mean) _b_cons _b_weight _eq2_stat_1 /// > (semean) _se_cons = _b_cons _se_weight = _b_weight > > * get t-stat for mean betas > foreach v in cons weight { > generate _t_`v' = _b_`v' / _se_`v' > } > list > * end code > > This is a different take on Fama and MacBeth (1973), who do > cross-sectional regressions each month/year then take the time series > mean and SE of the regression coefficients. > > This works because in asset pricing the time series correlation is low > (i.e., random walk). Here there may be correlation between the > industries, which this technique doesn't correct and could bias down > the SEs (they could address this in the paper - I didn't read). > > Mitchell Peterson (2009) provides a great summary of ways to address > panel data in finance research. > > Fama, E.F., MacBeth, J.D., 1973. Risk, return, and equilibrium: > Empirical tests. The Journal of Political Economy 607–636. > > Petersen, M.A., 2009. Estimating standard errors in finance panel data > sets: Comparing approaches. Review of financial studies 22, 435–480. > > On Fri, Jul 5, 2013 at 9:56 AM, Nahla Betelmal <nahlaib@gmail.com> wrote: >> Thank you, I will keep looking and searching and will let you know if >> I find how to it (both statistically and command wise). >> Many thanks again, I highly appreciate it >> >> Nahla >> >> On 5 July 2013 14:48, Maarten Buis <maartenlbuis@gmail.com> wrote: >>> 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/ >> * >> * 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/ * * 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/