Extract t-stats from a panel
Posted: Tue Jan 10, 2017 5:10 am
Any advice on how to estimate the following model? I guess that I can calculate ybar(t-1) and d(ybar(t)) by using @bymeans.
series y_timemeans = @meansby(y_, @date)
Something like:
d(y_) c y_(-1) y_timemeans(-1) d(y_timemeans) d(y_(-1))
However, how can I save the series/vector of the t-stats for b(i)? Can I extract the t-stats for b(i) with some command (without starting looping or something, I do not want to estimate every i individually)?
series y_timemeans = @meansby(y_, @date)
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d(y_) c y_(-1) y_timemeans(-1) d(y_timemeans) d(y_(-1))
However, how can I save the series/vector of the t-stats for b(i)? Can I extract the t-stats for b(i) with some command (without starting looping or something, I do not want to estimate every i individually)?