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st: Fama - Macbeth implementation


From   Enrico Deabate <enrico.deabate@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Fama - Macbeth implementation
Date   Thu, 22 Nov 2012 23:31:40 +0100

Dear Statlisters,

I am currently running a Fama Macbeth regression using the built in program -xtfmb– on 5 variables for 13 years of time with quarterly data.
I would like to add, at the time series step of the regression, a yield spread variable that is fixed over the cross-section, without having it dropped because of it is obviously constant in the cross-section.
Is it possible?
How can I perform this regression?

Thank you very much,

Best,
Enrico


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