Hello there,
I have a question concerning how to create a specific regression output table for Word.
My data set contains time series of different financial market data: market return (y), tail risk (x1), book to market ratio (x2), default return spread (x3), term spread (x4), etc.
With these data, I'm running a series of predicitve regressions.
First, I'm running a regression of the form market return ~ tail risk, where market return is the dependent variable and tail risk the independent variable. (y ~ x1)
Second, I'm running a regression of the form market return ~ book to market ratio. (y ~ x2)
Third, y ~ x3
Etc.
So, I am not running one single regression containing all variables, but running different regressions with only one independent variable. The dependent variable is always market return.
For my regression, I use the -ivreg2- command:
foreach x of varlist tail risk book_to_market default_return_spread default_yield_spread dividend_payout_ratio ... (etc) {
ivreg2 CDAXreturn_1y `x', bw(12) kernel(tru) small
}
...with CDAXreturn_1y = the one year return on the CDAX (=dependent variable, market return).
In Word, I want to show a table containing the following data:
First column: names of the independent variables.
Second column: coefficients.
Third column: t statistics.
Fourth column: R squared.
As you see, the table should contain the different statistics (coefficient, t statistics, r squared) of every single independent variable one below the other.
Can anybody help me with that?
I have a question concerning how to create a specific regression output table for Word.
My data set contains time series of different financial market data: market return (y), tail risk (x1), book to market ratio (x2), default return spread (x3), term spread (x4), etc.
With these data, I'm running a series of predicitve regressions.
First, I'm running a regression of the form market return ~ tail risk, where market return is the dependent variable and tail risk the independent variable. (y ~ x1)
Second, I'm running a regression of the form market return ~ book to market ratio. (y ~ x2)
Third, y ~ x3
Etc.
So, I am not running one single regression containing all variables, but running different regressions with only one independent variable. The dependent variable is always market return.
For my regression, I use the -ivreg2- command:
foreach x of varlist tail risk book_to_market default_return_spread default_yield_spread dividend_payout_ratio ... (etc) {
ivreg2 CDAXreturn_1y `x', bw(12) kernel(tru) small
}
...with CDAXreturn_1y = the one year return on the CDAX (=dependent variable, market return).
In Word, I want to show a table containing the following data:
First column: names of the independent variables.
Second column: coefficients.
Third column: t statistics.
Fourth column: R squared.
As you see, the table should contain the different statistics (coefficient, t statistics, r squared) of every single independent variable one below the other.
Can anybody help me with that?
Comment