Turn on suggestions

Auto-suggest helps you quickly narrow down your search results by suggesting possible matches as you type.

Showing results for

- Home
- /
- Analytics
- /
- SAS Data Science
- /
- Re: a question regarding statistics

Options

- RSS Feed
- Mark Topic as New
- Mark Topic as Read
- Float this Topic for Current User
- Bookmark
- Subscribe
- Mute
- Printer Friendly Page

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Posted 03-29-2013 09:17 PM
(3224 views)

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

20 REPLIES 20

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

No, you can't just average the t-stat or p-value.

What are you actually trying to calculate?

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

ok thanks for the reply , here is what i am trying to calculate.

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??? .

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

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;**

**class stockName;**

**model liq = stockName x z d / solution;**

**run;**

This will estimate a separate intercept for each stock and single slopes (with T statistics) for all your parameters (x, z, d, etc)

PG

PG

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

That explains why the market crashed

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Ahmad,

It could help to see the paper you are referring to.

Maybe there is some misunderstanding on the methodology used?

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

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.

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

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.

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

**Available on demand!**

Missed SAS Innovate Las Vegas? Watch all the action for free! View the keynotes, general sessions and 22 breakouts on demand.

How to choose a machine learning algorithm

Use this tutorial as a handy guide to weigh the pros and cons of these commonly used machine learning algorithms.

Find more tutorials on the SAS Users YouTube channel.