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
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??