Averaging regression coefficients for 50 regression , how to report t statistic ??

NEWTOSTATA

New Member
hi
i have estimated same regression equation for 50 stocks, i need to report the cross sectional average of the regression coefficients, how can i report the t statistic for the cross sectional averages. Shoulc i average them too?? help needed

Lazar

Phineas Packard
Re: Averaging regression coefficients for 50 regression , how to report t statistic ?

I think we need more information. What is it you are trying to do and why?

NEWTOSTATA

New Member
Re: Averaging regression coefficients for 50 regression , how to report t statistic ?

I think we need more information. What is it you are trying to do and why?

I am estimating a regression like

Yit = a +b1 Xit +b2 Zit +b3 Rit + e

where i = 1 to 100
no i get coefficient estimates for all 100 i , i.e. 100 values of b1 ,100 values of b2 and so on.

For reporting purposes i have calculated a cross sectional average of b estimates, i.e to get one value of b1 and one vane of b2 and so on.

But how do i report the t statistic for these averages i have calculated.

I can see in many papers they have reported the cross sectional average as i am calculating, but with this average the report the t statistic too, i am confused how to calculate that t statistic. shoukd i average the individual t statistic too??

any help would be highly appreciated

NEWTOSTATA

New Member
Re: Averaging regression coefficients for 50 regression , how to report t statistic ?

any help??

I think we need more information. What is it you are trying to do and why?