Please I have 8631 unique mutual funds, as a result of their different risk exposure, I run regression per fund, outputting their parameter estimates, but at the end of the day, I want to have one estimate for all and a single t value. But for the coefficients of these 8631 funds, I take an average of them to serve as a single coefficient (I'm not too sure if this is right). for the t values, it will be wrong to just use an average of all the t values of the 8631 funds. I need help to have to find just a single coefficient and t value for these 8631 funds, even though I am running the regression by fund. Thank you. attached is what I have.. ods listing close;
ods noresults;
ods output parameterestimates=prince.coefew1;
proc reg data=prince.Allfund;
by CRSP_FUNDNO;
model MRETRF=mktrf smb hml umd;
run;
data prince.betaestew;
set prince.Coefew1;
if variable = 'mktrf';
varerr=stderr**2;
rename estimate=betaestew;
keep CRSP_FUNDNO Variable Estimate StdErr varerr tvalue;
run;
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