Report Bonferroni adjusted p-values after reg

[Tom Ford]

Hello,
I am running a series of regressions and I would like to report the results using Bonferroni-adjusted p-values.

My data looks something like this, and I run 3 regressions on 3 different dependent variables and 4 different regressors:

sysuse auto
gen log_price=log(price)
gen sqrt_price=sqrt(price)

reg price mpg rep78 i.foreign weight
eststo reg1
reg log_price mpg rep78 i.foreign weight
eststo reg2
reg sqrt_price mpg rep78 i.foreign weight
eststo reg3
esttab reg1 reg2 reg3

------------------------------------------------------------
                      (1)             (2)             (3)   
                    price       log_price      sqrt_price   
------------------------------------------------------------
mpg                 27.32        -0.00148          0.0445   
                   (0.35)         (-0.15)          (0.11)   

rep78               121.1          0.0336           1.069   
                   (0.36)          (0.81)          (0.59)   

0.foreign               0               0               0   
                      (.)             (.)             (.)   

1.foreign          3520.3***        0.508***        20.84***
                   (4.11)          (4.75)          (4.45)   

weight              3.565***     0.000469***       0.0201***
                   (5.42)          (5.72)          (5.60)   

_cons             -6729.6           6.979***        4.697   
                  (-1.95)         (16.23)          (0.25)   
------------------------------------------------------------
N                      69              69              69   
------------------------------------------------------------
t statistics in parentheses
* p<0.05, ** p<0.01, *** p<0.001

Ideally, the final table should show Bonferroni adjusted p-values under the standard errors.
Does anyone know how I can do this?

thanks a lot

[Carlo Lazzaro]

Tom:
why not considering -sureg-?

sysuse auto
gen log_price=log(price)
gen sqrt_price=sqrt(price)
sureg (price mpg rep78 i.foreign weight) ( log_price mpg rep78 i.foreign weight) ( sqrt_price mpg rep78 i.foreign weight), small dfk
sureg (price mpg rep78 i.foreign weight) ( log_price mpg rep78 i.foreign weight) ( sqrt_price mpg rep78 i.foreign weight), small dfk

Seemingly unrelated regression
------------------------------------------------------------------------------
Equation             Obs   Params         RMSE  "R-squared"         F      P>F
------------------------------------------------------------------------------
price                 69        4     2128.805      0.4972      15.82   0.0000
log_price             69        4     .2652663      0.5601      20.37   0.0000
sqrt_price            69        4      11.6224      0.5319      18.18   0.0000
------------------------------------------------------------------------------

------------------------------------------------------------------------------
             | Coefficient  Std. err.      t    P>|t|     [95% conf. interval]
-------------+----------------------------------------------------------------
price        |
         mpg |   27.32371   77.53757     0.35   0.725    -125.6111    180.2585
       rep78 |   121.1322   334.3828     0.36   0.718    -538.4032    780.6677
             |
     foreign |
    Foreign  |   3520.324    857.318     4.11   0.000     1829.353    5211.295
      weight |   3.565247   .6582976     5.42   0.000     2.266823    4.863671
       _cons |   -6729.56   3450.835    -1.95   0.053    -13535.98     76.8546
-------------+----------------------------------------------------------------
log_price    |
         mpg |  -.0014765   .0096618    -0.15   0.879    -.0205334    .0175804
       rep78 |   .0335949   .0416668     0.81   0.421    -.0485886    .1157783
             |
     foreign |
    Foreign  |   .5077989   .1068288     4.75   0.000     .2970902    .7185076
      weight |   .0004692    .000082     5.72   0.000     .0003074     .000631
       _cons |   6.979208    .430002    16.23   0.000     6.131073    7.827342
-------------+----------------------------------------------------------------
sqrt_price   |
         mpg |   .0444727   .4233235     0.11   0.916     -.790489    .8794345
       rep78 |   1.069119   1.825593     0.59   0.559    -2.531675    4.669913
             |
     foreign |
    Foreign  |   20.83803   4.680606     4.45   0.000     11.60602    30.07004
      weight |    .020133    .003594     5.60   0.000     .0130441    .0272219
       _cons |   4.696691   18.84015     0.25   0.803    -32.46355    41.85694
------------------------------------------------------------------------------

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