Dear All, Suppose that I do the following bootstrap (please ssc install reghdfe)
Code:
set seed 1234567
capture program drop sobel
program define sobel, rclass
    reghdfe lRDSpendSumRatio co ROA LSize LLev LTobinQ Revenue Lsharebymanager LZvalue, a(ind1 year) 
    local a = _b[co]
    reghdfe Fncskew lRDSpendSumRatio co ret_m sigma turn_d lbsize lsize lmb lev roa labacc, a(ind1 year)    
    local b = _b[co]   
    return scalar s = `a'*`b'
    exit
end

bootstrap s = r(s), reps(100): sobel
In addition to `s', I wonder if I can obtain all the estimated coefficients from these two regressions? Thanks.