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

st: Re: Banquo's ghost and Gene Fama

From   Kit Baum <>
Subject   st: Re: Banquo's ghost and Gene Fama
Date   Wed, 13 Oct 2004 09:26:36 -0400

You should be able to do this with the statsby command

Kit Baum, Boston College Economics

On Oct 13, 2004, at 2:33 AM, statalist-digest wrote:

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.
*   For searches and help try:

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