Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Re: Fama-MacBeth regressions

From   "Michael Blasnik" <>
To   <>
Subject   st: Re: Fama-MacBeth regressions
Date   Tue, 12 Oct 2004 10:32:08 -0400

You may want to check out -statsby- to run the individual regressions and
assemble the results for you.

Michael Blasnik

----- Original Message ----- 
From: "Alex Edmans" <>
To: <>
Sent: Tuesday, October 12, 2004 10:02 AM
Subject: st: Fama-MacBeth regressions

> Dear all,
> I'm relatively new to Stata; although I can run standard regressions
> 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
> 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
> 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

*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index