I've done normality testing using proc univariate normal, and the Shapiro-Wilk values are on 99% of the cases over 0.90. Most are somewhere close to 0.98. I think this is enough to know that it's close to normal, right? Am I able to get the t-statistic averages now somehow? ... View more

Just the t-statistic I get from testing whether the returns are statistically different from zero. Using: proc means mean t - approach. So I'm just wondering if I can take an average of the t-statistics as well, or is it statistically impossible? ... View more

Solved the problem! ... View more

PGstats and Ksharp, thanks! ... View more

I attached a pdf file, which is part of the original paper I took the idea from. The author explains more about the regressions and weights there, maybe there's something I haven't understood? Ksharp, the data is similar to that in the other post I have here, where I want to calculate the correlations..However there are only one values for the four variables, since I've combined the countries data using some pre-specified method.. But the four variables data are just returns in the form 0,01 for example (corresponding to1%), nothing else. I really appreciate your help!! ... View more

Attached a table that represents the results I want to have as well (the average part).. Haven't yet modified my data, so it's just in the form than in the excel file attached.. ... View more

I attached a data sample.. There's four variables, and each country has their own values for those variables.. Now I'd like to calculate mean correlations for those variables.. By mean correlations I mean what is the average correlation between two of the variables across 20 countries.. Hope this helps ... View more

I'm using the following regression: I=b1*HML+b2*MOM /noint the I represents here an identity vector, i.e. arbitrage profits, expected return of one and standard deviation of zero. This is Britten-Jones's formulation and I can provide more info if it helps.. HML and MOM are long-short equity portfolios formed with two different styles.. The idea of the model is to directly give me the amount of weight to be invested in these two portfolios.. So if I get a negative coefficient for b2, it means I will be shorting the momentum long-short portfolio.. The idea would be just to get the weights into more meaningful figures like in the case of only positive coefficients, where I can easily tell that I for example have to invest 40% to HML and 60% to MOM portfolios.. Hope it helped a bit, let me know if you need more info! Thanks!! ... View more

Any ideas still? ... View more

Sorry for the inaccuracy in my question.. Yes I meant across all countries.. ... View more