I have run cross-sectional regression on the returns of 50 companies on 16 regressors, for 128 days. The regression output looks something like this:
Day1 Day2 ... Day128
Var1 c_1,1 c_1,2 c_1,128
Var2 c_2,1 c_2,2 c_2,128
.
.
.
Var 16 c_16,1 c_16,2 c_16,128
Also for each coefficient I have the p_value availlable. Next I want to take the time series average of the coefficient for each regression variable, that is I want to take te average across all days of the regression estimates.
The main question I have is, how do i get the p-value (or t-statistic) of these time series averages?
Any help would be much appreciated