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Fw: st: xtfmb: Fama MacBeth regression


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



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