[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: fm regression code

Subject   Re: st: fm regression code
Date   Thu, 06 Aug 2009 12:54:35 +0200

You can have fama-macbeth from Stata, without programming it by yourself:
1) -xtfmb- (from SSC) is an implementation of the Fama and MacBeth (1973) two step procedure. In the first step, for each single time period a cross-sectional regression is performed. Then, in the second step, the final coefficient estimates are obtained as the average of the first step coefficient estimates.  -xtfmb- allows you to test for the significance of coefficient combinations as you are used to from ordinary linear regressions. This is because the second step of the Fama-MacBeth procedure is implemented by aid of Zellner's SUR estimation. The "avg. R-squared" which is provided in the header of the -xtfmb- program is computed as the average value of the R-squares from the cross-sectional regressions in the first step of the Fama-MacBeth procedure.
2) -fmivreg- (from estimates Fama-MacBeth regressions with instrumental variables and Newey-West standard errors
P.S. I'll NOT receive/read any email but the Digest.

At 02.33 05/08/2009 -0400, qing ye wrote:
>hi, I want to run a fama -macbeth regression every month and store the
>coefficients and number of observations, adjusted R2 in a matrix.
>each row of the matrix corrspond to the result from each month.
>I typed the following code, but it always gives the invalid syntax
>message. Can you tell me what's wrong with the code?

*   For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index