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st: Fama-MacBeth regressions


From   "Alex Edmans" <aedmans@mit.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Fama-MacBeth regressions
Date   Tue, 12 Oct 2004 10:02:42 -0400

Dear all,

I'm relatively new to Stata; although I can run standard regressions without
any problem, I am not sure how to run a Fama-MacBeth regression (where you
run cross-sections at different points in time, e.g. for 20 different years
between 1980 and 2000, and then take the coefficients and treat these as a
time series). Apparently in SAS you can run this very easily, with a couple
of lines of code. Does anyone know how to do this in Stata? I think I can
work out how to run the 20 regressions, via looping through the years, but
am not sure how I would save the cross-sectional coefficients to enable me
to do the second-stage time series regression.

Any help would be really appreciated. Thanks in advance.

Alex Edmans
Sloan School of Management, MIT


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