Hello everyone,

I am a little confused about how to transfer the results (only the coefficient and t-value) of multiple newey west regressions into one table (please see the table and code below) other than typing them manually into Excel.

Could someone please give me a hint on how to approach this issue?

Thank you very much in advance.

Cyrano








About the specific issue:

The regressions are based on momentum strategies which are described below:

****Short information about momentum:****************************************************** ************************************************** *****************
Following a momentum strategy means that you look a few months in the past (in the code j=3,6) and look at the best and worst-performing stocks.
Then you buy (long) the best-performing stocks and short-sell (short) the worst-performing stocks and hold those stocks for the next few months in the future (in the code k=3,6,9).
The difference between the best-performing stocks and the worst-performing stocks during the holding period is the portfolio return.
************************************************** ************************************************** ************************************************** ****************

This results in j x k different combinations that I would like to show in one single table like this:
For each J x K strategy, I would like to show the
- Coefficient and
-t-statistic
(in the columns)

for each of the three return measures:
-long
-short and
-portfolio return
(in the rows)
K= 3 3 6 6 9 9
Coeff t-stat Coeff t-stat Coeff t-stat
J= 3 Long
3 Short
3 Portfolio
6 Long
6 Short
6 Portfolio


Code:
************************************************** *********************
forvalues j = 3 (3) 6 { //J refers to the formation period
forvalues k = 3 (3) 9 { //K refers to the holding period
newey r_long_`j'`k' //newey west regression on the best performing stocks
newey r_short_`j'`k' //newey west regression on the worst performing stocks
newey r_portfolio_`j'`k' //newey west regression on the difference between best and worst
}
}