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RE: st: how to do fama and macbeth procedure in poisson or nbreg regression


From   Eleimon Gonis <Eleimon2.Gonis@uwe.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: how to do fama and macbeth procedure in poisson or nbreg regression
Date   Mon, 5 Dec 2011 18:20:47 +0000

The Fama and Macbeth (1973) regression is a routine regression in Finance. It is most commonly used to estimate parameters for asset pricing models, such as the Capital Asset Pricing Model (CAPM). 

The method essentially calculates the betas (sensitivity of the asset's returns to those of the market) and risk premia for any risk factors the researcher believes determine asset prices. 

The method consists of two steps:
1. The first step includes regressing each asset's returns against all the proposed risk factors (e.g. inflation, GDP, etc) in order to determine the asset's beta for that risk factor.
2. The second step involves regressing cross-sections of asset returns (i.e. for a fixed time period) against those estimated betas so as to determine the risk premium for each risk factor.

The original empirical study is as follows:
Fama,E. and D. Macbeth (1973), "Risk, Return and Equilibrium: Empirical Tests" Journal of Political Economy, Vol. 81, No. 3, pp.607-636.

Regards,
Eleimon

Dr Eleimon Gonis BSc MSc PhD MICM
Senior Lecturer in Accounting and Finance
Programme Manager: MSc Finance
Centre for Global Finance
Bristol Business School
University of the West of England, Bristol
Frenchay Campus
Coldharbour Lane
Bristol
BS16 1QY
United Kingdom 

Telephone: +44 (0) 117 328 3405
Fax: +44 (0) 117 328 2289
E-mail: Eleimon2.Gonis@uwe.ac.uk
http://bbs-staff.uwe.ac.uk/public/profile.aspx?username=e2-gonis


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Yuval Arbel
Sent: 05 December 2011 18:08
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: how to do fama and macbeth procedure in poisson or nbreg regression

I'm curious to know whether this procedure has anything to do with
Lady Macbeth from Shaksphere

On Mon, Dec 5, 2011 at 5:28 PM, Muhammad Anees <anees@aneconomist.com> wrote:
> Search the statalist archives and find more optional information. One
> example is http://www.stata.com/statalist/archive/2006-12/msg00682.html
>
> On Mon, Dec 5, 2011 at 8:06 PM, Ye SUN <sunye74stata@gmail.com> wrote:
>> Dear all,
>>
>> Is there ado file that can do fama and macbeth procedure in poisson or
>> nbreg regression (dependent variable is count number) ? I just find-
>> xtfmb- for ordinary linear regressions.
>>
>> Aslo, is there ado file that can do two-dimension cluster in  poisson
>> or nbreg regression?
>>
>> Thanks for help
>>
>> Regards,
>> Ye SUN
>> *
>> *   For searches and help try:
>> *   http://www.stata.com/help.cgi?search
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>> *   http://www.ats.ucla.edu/stat/stata/
>
>
>
> --
>
> Regards
> ---------------------------
> Muhammad Anees
> Assistant Professor
> COMSATS Institute of Information Technology
> Attock 43600, Pakistan
> www.aneconomist.com
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/



-- 
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street, Haifa, Israel
e-mail: yuval.arbel@gmail.com

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