03-29-2013 09:17 PM
hi i have estimated regression using 'Proc REg' with' by' variable.
now i regression result for all the 'by variable'
i want to average the slope coefficient. well that is easy . but what about to the t statistic? can i simply average it too? and how to interpret it?
Thanks in advance
03-29-2013 11:21 PM
i have weekly liquidity data for 500 stock over 7 years.
i am estimating an equation, which is something like this
Liq= a+ b1x + b2z+ b3d........+bnZ +e
now i have estimated this equation using proc reg .
with stockname as my by variable. so i have estimated this equation 500 times (number of stocks)
for reporting purpose i need to calculate the cross sectional average of coefficients (e.g average 500 b1). How do i report the t statistics for these averaged coefficients??? .
03-30-2013 03:35 PM
I agree with Reeza that averaging your coefficients is NOT the way to go. Instead, you should estimate single slope coefficients from all your stocks taken together. Drop the BY clause, switch from REG to GLM and use something like:
proc glm data=myData;
model liq = stockName x z d / solution;
This will estimate a separate intercept for each stock and single slopes (with T statistics) for all your parameters (x, z, d, etc)
03-30-2013 05:20 PM
but this procedure has been used in alot of recent papers in top journals, and they just average out the slope coefficients, however how they go about tstatistics, i am not sure and i cant understand
03-30-2013 09:26 PM
haha nice one :smileysilly: but you know the problem is not with estimtaion, because this estimation becuase this is just an intermediate estimation before the real model, however we cannot report the result of 500 regression, so just for reporting purpose this has to be done, and i just cant figure out how they have done or how to report, if you want i can send you a link of the orignal paper, sorry to bother but any help wpold be really appreciated
03-31-2013 01:36 PM
On pg 266, that is time series analysis, not just regression analysis. Because there is seasonal adjustment and time adjustments.
You can implement a similar model in proc reg, but have to make sure your have the appropriate terms in the model as well.
03-31-2013 01:43 PM
yes reeza i have all the appropriate terms, i.e lags and everything, but do you know how the author has summarized the results in table2, specially regarding the tstatistic, as he has averaged the coefficients cross sectionally, but how do i report t statistics??
04-01-2013 10:55 AM
I'm not sure, mostly because I don't want to read the paper thoroughly.
I would suggest contacting the authors directly. The version you attached doesn't have the author contacts, but usually when I've had articles published the author contacts are included, as well as the institutions.
04-01-2013 12:52 PM
I'm not sure how the author came up with the average t-statistic. I agree that it is a bad practice averaging t-statistics. If you have the opportunity to recommend a different solution, I would probably go for something like "% of regressions with a significan p-value". It's a way to say, for each independent variable, of the n "by groups", x% had a significan p-value.