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st: Problem with Fama-Macbeth regression


From   Jeronimo Perez Aleman <jperez@defc.ulpgc.es>
To   statalist@hsphsun2.harvard.edu
Subject   st: Problem with Fama-Macbeth regression
Date   Tue, 03 Oct 2006 19:04:40 +0100

I'm trying to run the Fama-Macbeth regression(F-M style, see fmJ.ado in
http://www.bus.umich.edu/Academics/Departments/Accounting/nhafzall/default.htm).
I use stata 8.2 (updated). The message is:
time-series operators not allowed.
I do understand anything.
Could anybody help me?
Thanks
Jeronimo Perez
University of Las Palmas de Gran Canaria (Spain)


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