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Display the significance of T-stat in a report
Posted: Tue Jul 26, 2011 7:42 am
by Aktar
Hi,
I would like to display in a report the signifiance of my betas coefficient, indeed the signifiance associated to the T-stat.
I tried %signif and with other %**signif functions but it doesn't work.
Thank you.
Re: Display the significance of T-stat in a report
Posted: Tue Jul 26, 2011 8:28 am
by TomDoan
You can do that with %ttest(%tstats(i),%ndf) for coefficient i.
Re: Display the significance of T-stat in a report
Posted: Tue Nov 19, 2019 10:04 am
by asmith05
Hi Tom,
Quick question. This works great for homoscedastic standard errors.
See below:
Code: Select all
Linear Regression - Estimation by Least Squares
Dependent Variable SLOPE
Daily(5) Data From 1999:01:04 To 2012:02:29
Usable Observations 107
Degrees of Freedom 106
Skipped/Missing (from 3433) 3326
Centered R^2 -0.0000000
R-Bar^2 -0.0000000
Uncentered R^2 0.0075226
Mean of Dependent Variable -0.004531168
Std Error of Dependent Variable 0.052290697
Standard Error of Estimate 0.052290697
Sum of Squared Residuals 0.2898376003
Log Likelihood 164.4262
Durbin-Watson Statistic 1.7741
Variable Coeff Std Error T-Stat Signif
************************************************************************************
1. Constant -0.004531168 0.005055132 -0.89635 0.37209696
Use '%ttest(%tstats(1),%ndf)' to calculate p-value 0.37210
However, RATS seems to be doing something different when I use robust standard errors. In particular, the "Signif" value in the regression output differs from my calculation. See below:
Code: Select all
Linear Regression - Estimation by Least Squares
With Heteroscedasticity-Consistent (Eicker-White) Standard Errors
Dependent Variable SLOPE
Daily(5) Data From 1999:01:04 To 2012:02:29
Usable Observations 107
Degrees of Freedom 106
Skipped/Missing (from 3433) 3326
Centered R^2 -0.0000000
R-Bar^2 -0.0000000
Uncentered R^2 0.0075226
Mean of Dependent Variable -0.004531168
Std Error of Dependent Variable 0.052290697
Standard Error of Estimate 0.052290697
Sum of Squared Residuals 0.2898376003
Log Likelihood 164.4262
Durbin-Watson Statistic 1.7741
Variable Coeff Std Error T-Stat Signif
************************************************************************************
1. Constant -0.004531168 0.005031455 -0.90057 0.36781793
Use '%ttest(%tstats(1),%ndf)' to calculate p-value 0.36986
Could you shed some light on what RATS is doing to calculate the "Signif" values when using the "robust" option?
Many thanks!
Lee Smith
Re: Display the significance of T-stat in a report
Posted: Tue Nov 19, 2019 1:29 pm
by TomDoan
It's a N(0,1). Use %ztest(%tstats(i)) to reproduce exactly the information from the output.