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Re: st: xtfmb: Fama MacBeth regression - High average R2, but no significant coefficients


From   Robson Glasscock <glasscockrc@vcu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtfmb: Fama MacBeth regression - High average R2, but no significant coefficients
Date   Thu, 28 Apr 2011 13:02:44 -0400

Hi Alex,
Have you looked at the correlation between your regressors? It sounds
to me like a classic case of multicollinearity (aka micronumerosity
=>).

On Wed, Apr 27, 2011 at 5:39 PM, Alexander v. Angerer <avangerer@web.de> wrote:
> Hello,
>
> I was conducting a Fama MacBeth regression using xtfmb to test wether three betas on factor portfolios are able to explain the cross sectional variation in portfolio returns.
>
> None of the three (average time series) beta coefficients was significant while the average R squared of all  cross sections was above 70%. What could be the problem here?
>
> Best regards,
>
> Alex
>
>
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