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From |
biljana.dlab@bf.uzh.ch |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Fw: st: xtfmb: Fama MacBeth regression |

Date |
Tue, 17 Jul 2012 09:10:38 +0200 |

hello, I would like to do Fama MacBeth regression and i used xtfmb function. however I would like now to do it step-by-step, for each year I have in sample (1971 - 2001), so that I see changes from one year to the next one, later on I can take the average of the coefficients: so I tried with this code: forvalues fyear ‘ i ’ { reg Cash Debt matrix coefficient =e(b) matrix regression_result [ ‘ i ’, 1] =coefficient [1 ,1] matrix regression_result [ ‘ i ’, 2] =coefficient [1 ,2] matrix regression_result [ ‘ i ’, 3] = e(N) matrix regression_result [ ‘ i ’, 4] = e(r2_a) i = ‘ i ’ +1 } matrix list regression_result however I am getting error message best, biljana 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 * * 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/

**Follow-Ups**:**Re: Fw: st: xtfmb: Fama MacBeth regression***From:*Maarten Buis <maartenlbuis@gmail.com>

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