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From |
"felix kreppel" <felix.kreppel@gmx.de> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: Re: st: Regression with different firms |

Date |
Fri, 10 Aug 2012 16:01:38 +0200 |

Ok I have the solution: I used the Fama-Macbeth regression commmand xtfmb (net search xtfmb). The procedure is as follows: In the first step, for each single time period a cross-sectional regression is performed. Then, in the second step, the final coefficient estimates are obtained as the average of the first step coefficient estimates. I just tried to do this with my dataset with regression equation: xtfmb market_return smb hml wml but But when he gives me the regression output hey says variable coefficient = 0 and standard error omitted? -------- Original-Nachricht -------- > Datum: Fri, 10 Aug 2012 14:27:55 +0200 > Von: "felix kreppel" <felix.kreppel@gmx.de> > An: statalist@hsphsun2.harvard.edu > Betreff: Re: Re: st: Regression with different firms > Thank you for your answer. > > My original empirical analysis works as follows: > > I am estimating a 4-Factor Model (with 4 factors: SMB, market_return, HML, > WML which are the same for all firms) augmented by a fifth explanatory > variable (which influence I want to evaluate) which is calculated as the > average weekly standard deviation of excess return 12 months prior to month t > for each firm: > > return_i_t=a*market_return_t+b*SMB_t+c*HML_t+d*WML_t+e*std_i_t > > where t indicates the month and i indicates the firm over a sample period > of 25 years. > > What I did so far to solve my regression problem was to average all firm > returns to an equally weighted index and also averaged all the previous > volatilities to an equally weighted index and then estimated the following > regression > > return_t=a*market_return_t+b*SMB_t+c*HML_t+d*WML_t+e*std_t > > with the command: newey return market_return smb hml wml std, lag(4) to > address the serial correlation in the error terms. > > I do not know, however, if this approach works. Especially averaging all > the previous standard deviations to one independent variable. > > Isn't there a possibility to run a regression for each single firm (say > for each year) and then average coefficients, significane levels and standard > errors together over the whole time period? > > > > > > -------- Original-Nachricht -------- > > Datum: Fri, 10 Aug 2012 10:42:43 +0000 > > Von: Christopher Baum <kit.baum@bc.edu> > > An: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> > > Betreff: Re: Re: st: Regression with different firms > > 
 > * > * 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/ * * 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: Re: st: Regression with different firms***From:*"felix kreppel" <felix.kreppel@gmx.de>

**References**:**Re: Re: st: Regression with different firms***From:*Christopher Baum <kit.baum@bc.edu>

**Re: Re: st: Regression with different firms***From:*"felix kreppel" <felix.kreppel@gmx.de>

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