Saving t-stats in rolling regression with Newey-West se

[Christian Egolf]

I have to perform a rolling regression with Newey-West se over 1135 obs with a window of 52. I run it over the "rolling" window and enter there the code

newey PBQ1 MKTRF SizeTLS momLS, lag(7)

I can then tick "Model coefficients" and "SE of model coefficients". In the next line I could enter other statistical expressions. What do I have to put in to also get the t-statistics, i've already tried what i thought would make sense, e.g. _t, _tstat, ....

The code which i get in the end from the rolling window is this:

rolling _b _se, window(52) clear : newey PBQ1 MKTRF SizeTLS momLS, lag(7)

Ideally, I'd also like to get the adj. r2, for this I now use:

rolling e(r2_a), window(52) clear : regress PBQ1 MKTRF SizeTLS momLS

But it always deletes my initial variables, is there a way for stata to save the coefficients, se and t-stats from the newey regression and the adj. r2 from the normal regress?

[Christian Egolf]

Ok I figured out how to do the last steps with a loop but still don't know how to tell stata that I also want the t-statistics saved in the rolling newey regression. So if _se gives me standard errors and _b the coefficients I need to know which command gives me the t-stats...

[Attaullah Shah]

The new beta version of asreg 3.1.1 can handle newey regressions in a rolling window. This version is still for testing purpose. You can install it from my website www.FinTechProfessor.com. After the testing phase, asreg will be uploaded to SSC.

* Install asreg
net install asreg, from(http://fintechprofessor.com) replace

* Use example data
webuse grunfeld, clear

* newey regressions in a rolling window of 20 observations and using 4 lags

bys company: asreg invest mvalue kstock, window(year 20) newey(4)

For knowing other capabilities of asreg, please read these Statalist posts
https://www.statalist.org/forums/for...nstant-options

https://www.statalist.org/forums/for...-rolling-betas

[Attaullah Shah]

Update: asreg version 3.1.1 is now available on SSC. To install,

ssc install asreg, replace

Since post #1 in this thread is asking for getting t-statistics, here is a short blog entry on how to get t-states with asreg.
http://fintechprofessor.com/2018/03/...tics-se-stata/

[Wen-Hung Hsu]

Hi, I am also working on the same method: rolling window (asreg) with Newey-West correction. My code is: bysort PERMNO: asreg EXCOMP MktRF, window(mofd 36) newey(6). Then I generate betas and constants for each time period in each PERMNO. I would like to ask how you interpret the result? How do you calculate the t-value? Do you average the coefficients and standard errors, and then divide the average coefficients with average standard errors?

[Attaullah Shah]

You would like to read this post, where I show how to generate t-values and p-values using asreg.

[Wen-Hung Hsu]

Dear Professor Shah,
I am so glad to receive your reply. However, when I run the code in the post, I have the error: <istmt>: 3499 ASREGW() not found. What is the cause of this and how I can solve it?

My code is:

bysort PERMNO: asreg EXCOMP MktRF, window(mofd 36) min(36) se

Besides, is the commend applicable to the Newey-West correction? Such as:

asreg EXCOMP MktRF, window(mofd 36) min(36) newey(6)

[Wen-Hung Hsu]

The error: the error: <istmt>: 3499 ASREGW() not found. is followed by the following code:

bysort PERMNO: asreg EXCOMP MktRF, window(mofd 36) min(36) se