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RE: Antwort: Re: Fw: st: xtfmb: Fama MacBeth regression


From   Judson Caskey <Judson.Caskey@mccombs.utexas.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: Antwort: Re: Fw: st: xtfmb: Fama MacBeth regression
Date   Thu, 19 Jul 2012 07:40:52 -0500

> 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:

I have a program xtfmbJ.ado posted at http://webspace.utexas.edu/jc2279/www/data.html. It is a modified version of the xtfmb command, with an 'ereturn' that includes a matrix containing each period's coefficients. 

Regards,

Judson Caskey
University of Texas, McCombs School of Business
CBA 3.216
1 University Station B6400
Austin, TX  78712
Office:                  (512)471-5752
Mobile:                (310)775-0080
judson.caskey@mccombs.utexas.edu

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