Hi all,
I have 29 annual cross-sectional regressions that I want to summarise the findings in a single table. I have been following a paper doing the same but I don't understand how exactly they calculate the significance levels.
The paper says that "the table presents the time series mean of the coefficient estimates from the 30 yearly regressions. The significance levels are for a test of the hypothesis that the time series mean is equal to zero , using the time series standard error of the mean estimate for each coefficient."
If I understand it correctly to calculate the coefficient they simply take the average of the coefficients from yearly regressions. But how exactly they calculate the significance levels based on standard errors? Is it basically a ttest of standard errors from yearly regressions?
Many thanks!
Related Posts with Time series means of coefficient estimates from cross-sectional regressions.
Recovering p-values from multiple bootstrapped iterations of a logit or glm regressionThe CMS models for choosing comorbidities to include in a risk adjustment model for a quality measur…
Crosstabs automationI am in the process of fully automating a code process. i have 10 different variables and first i ha…
An indicator variableHi everyone, I have a dataset including over 500 firms that have CEO changes based on CEO_ID and la…
How to find nonnumeric characters within a string variable and lists the observations that have this issueI want to identify which observations in my variable has non-numeric characteristics and what is the…
Calculating dummies based on other variablesDear specialists, I have a panel data, it includes Stock ID (Stkcd), fiscal year (Year), Background…
Subscribe to:
Post Comments (Atom)
0 Response to Time series means of coefficient estimates from cross-sectional regressions.
Post a Comment