I am doing an Event-Study with 649 firm announcements and estimate every announcement with a seemingly unrelated regression.
I ran the following regression:
Code:
statsby _b _se e(F) e(r2_a) e(df_m) e(df_r), by (id_regress) saving(output_betas, replace): sureg actual_ri_return post_event_window actual_sp_500_cdax_perf_return c.actual_sp_500_cdax_perf_return#i.post_event_window event_window
Is there any command how I can find out the individual F statistics and the p-values for every single coefficient?
Thank you in advance!
Niklas Brehl
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