Hi
I am running regressions by industry and year groups where the number of firms in the industry and year group is 25 firms.
I want to calculate the coefficients, t statistic and one-sided p values for all coefficients except for the intercept.
The coefficients on the variables atoW and lag_accW are predicted by to negative whereas the coefficents on all other variables are predicted to be positive.
I did the following (note that I was not ssure what to do with the negative coefficients' variables and hence my code for the p-value for these did not change):


HTML Code:
forval j = 0/6 {
   gen b`j'=.
   gen t_stat`j'=.
   gen p_value`j'=.
}
gen adjr2=.
gen unce=.

levelsof sic_2, local(levels)

foreach x of local levels {
 foreach z of numlist 1990/2016 {
 
capture reg ceW lag_ceW atoW lag_accW accW dsaleW ndsaleW  if  N_firms_sic_2_yr>25 & sic_2==`x' & yr==`z'
 
if _rc == 0  {
predict residual, res
replace unce=residual if e(sample)
drop residual
 
 replace b0 = _b[_cons] if e(sample)
 replace t_stat0 = b0/_se[_cons] if e(sample)
 replace p_value0= 2*ttail(e(df_r),abs(t_stat0)) if e(sample)
 
 
 replace b1 = _b[lag_ceW] if e(sample)
 replace t_stat1 = b1/_se[lag_ceW] if e(sample)
 replace p_value1= ttail(e(df_r),abs(t_stat1)) if e(sample)
 
 replace b2 = _b[atoW] if e(sample)
 replace t_stat2 = b2/_se[atoW] if e(sample)
 replace p_value2= ttail(e(df_r),abs(t_stat2)) if e(sample)
 
 replace b3 = _b[lag_accW] if e(sample)
 replace t_stat3 = b3/_se[lag_accW] if e(sample)
 replace p_value3= ttail(e(df_r),abs(t_stat3)) if e(sample)
 
 replace b4 = _b[accW] if e(sample)
 replace t_stat4 = b4/_se[accW] if e(sample)
 replace p_value4= ttail(e(df_r),abs(t_stat4)) if e(sample)
 
 replace b5 = _b[dsaleW] if e(sample)
 replace t_stat5 = b5/_se[dsaleW] if e(sample)
 replace p_value5= ttail(e(df_r),abs(t_stat5)) if e(sample)
 
 replace b6 = _b[ndsaleW] if e(sample)
 replace t_stat6 = b6/_se[ndsaleW] if e(sample)
 replace p_value6= ttail(e(df_r),abs(t_stat6)) if e(sample)
 
 replace adjr2=e(r2_a) if e(sample)

 }
 }
 }
The code runs and produced sensible results regarding all coefficients. However, I am not sure about the t stats or p values? Is my code for the t stats and p values correct? Do I have to use e(sample)? Note that the sample will be different from each industry-year regression? is using t stats correct here as well?

Thanks