Dear all,

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
Unfortunately e(F) e(r3_a) e(df_m) and e(df_r) only show results when I do a "normal" regression instead of a seemingly unrelated regression.

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