How to create loop to determine p-value for each cross-section in xtcointtreg

[Mukta Mukherjee]

Hi! Everyone,
I am trying to run DOLS and want to find out the effect for each cross-section. I want to compute p-value automatically for each cross-section. I am currently using the following command but it is giving for the entire model. not individual cross-section.

*PVALUES MODEL1
xtcointreg modprice1 perish_days stringency perish_STR, xtrend(1) est(dols) dic(aic) full

foreach var in perish_days stringency perish_STR{
gen p_`var'1= 2*(normal(-(_b[`var']/_se[`var'])))
}
est sto model1
esttab model1 , s(p_perish_days p_perish_STR, fmt(%9.4f))

Any suggestions regarding this would be helpful.

[Mukta Mukherjee]

Hi Everyone!!!
I am running the following command and using full option getting the t-stat for all my cross sections.

xtcointreg modprice stringency, est(dols) full
Method of estimation: dols
Number

Tab[31,1]
stringency
r1 .
beta_1 1.88
Se._1 6.24
t-stat_1 0.30
beta_2 0.16
Se._2 3.59
t-stat_2 0.05
beta_3 -1.03
Se._3 9.92
t-stat_3 -0.10
beta_4 -0.30
Se._4 4.73
t-stat_4 -0.06
beta_5 -21.68
Se._5 20.85
t-stat_5 -1.04
beta_6 3.84
Se._6 4.46
t-stat_6 0.86
beta_7 -4.14
Se._7 7.51
t-stat_7 -0.55
beta_8 40.82
Se._8 12.62
t-stat_8 3.24
beta_9 4.04
Se._9 6.54
t-stat_9 0.62
beta_10 9.87
Se._10 2.03
t-stat_10 4.86

Cave[1,2]
beta t-stat
stringency 3.35 2.58

I want to create a loop so that the p-value and significance are directly calculated but when I use the following command it is showing syntax error:
forvalues i 1(1)10{
gen p_`i'=2*(1-normal(abs(t-stat_`i')))
di `i' p_`i'
}
Any suggestions regarding where I am going wrong in creating the loop would be helpful.
Thanks for sparing your time!!