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From |
Adrian Stork <[email protected]> |

To |
[email protected] |

Subject |
Re: st: RE: Fama-MacBeth regression |

Date |
Fri, 3 Jan 2014 20:01:46 +0100 |

```
Dear Rick
Thank you for answering. I know about that side and that code and I
also would use it but unfortunately to use it I would need to get my
dataset (as described below) into a panel dataset which as simple as
it sounds at the beginning is not as easy because I have 306 rows
(i.e. months) and 201 columns (one column for the date, 100 columns
for the portfolios, and 100 columns for the estimated coefficients
from first-pass regressions). And simply reshaping does not help
because it only reshapes either the portfolios or the coefficients).
Also Mitch Petersen's fm-code does not include the first-pass regression.
Best,
Adrian
2014/1/3 Francis, Richard N <[email protected]>:
> Adrian,
>
> Attached is the Stata code for the FM regression.
>
> Code is from Mitch Petersen (http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/se_programming.htm).
>
> Good luck!
>
> Rick Francis
> Associate Professor
> Department of Accounting
> College of Business Administration
> University of Texas at El Paso
> 500 W. University Avenue
> El Paso, TX 79968
> Office: 915-747-7953
> FAX: 915-747-8618
> Email: [email protected]
>
>
> -----Original Message-----
> From: [email protected] [mailto:[email protected]] On Behalf Of Adrian Stork
> Sent: Friday, January 03, 2014 11:23 AM
> To: [email protected]
> Subject: st: Fama-MacBeth regression
>
> Dear all
>
> I'm trying to run a second-pass cross-sectional regression which is part of what finance researchers call a Fama-MacBeth regression.
> I managed to get the beta-coefficients from the first-pass regression but now I'm stuck at the second-pass CSR.
> So my dataset looks currently like this (time period starts in 1987m7 and ends 2012m12):
>
>
> ________________portfolios________________________
> _________________coefficients__________________________
>
> date2 exsize_1 exsize_2 exsize_3 exbm_1 exbm_2 exbm_3 betaexsize_1 betaexsize_2 betaexsize_3 betaexbm_1 betaexbm_2 betaexbm_3
> .... etc.
> 1989m6 .31 3.41 3.10 2.83 2.25 1.02 .64 .68 .67 .63 .76 .65
> 1989m7 1.16 1.85 4.93 9.40 3.31 4.65 .64 .68 .67 .63 .76 .65
> 1989m8 2.45 2.94 6.85 4.50 3.82 4.76 .64 .68 .67 .63 .76 .65
> 1989m9 -.60 1.38 -1.56 2.69 -.72 -1.38 .64 .68 .67 .63 .76 .65
> 1989m10 -1.46 -1.41 -.89 .11 -1.25 1.89 .64 .68 .67 .63 .76 .65
> etc.
>
> Now I need to regress at each individual month all the portfolios against the their estimated coefficient.
> But that is exactly what I'm not able to manage. In the end there should be one figure at each time period t which corresponds to the new coefficient from the individual cross-sectional regressions As you can see I merely added the prefix "beta" for the coefficients with respect to its portfolio.
>
> The best I could come with is the following:
>
> .ds ex*
>
> .forval i=330/635{
> .foreach v of varlist `r(varlist)' {
> . regress `v' beta`v' if date2==`i'
> . gen lambda`v' = _b[beta`v']
> .}
> .}
>
> but here the error message is "insufficient observations" although all obsevations are nonmissing.
> I know there is a code from Kellog University
> (http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/fm.ado)
> but that does not include the first pass regression and brings me to the same point. Also I want to understand the entire procedure and follow my results.
> Thus, does anyone have an idea how to retrieve the second pass regression coefficients (the beta coefficient in the second pass regression is perfectly fine and enough - no need for the constant or the residuals right now).
> I guess reshaping the dataset might also be an alternative beginning compared to the code I wrote above.
>
> Best,
> Adrian
> *
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> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/faqs/resources/statalist-faq/
> * http://www.ats.ucla.edu/stat/stata/
*
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```

**Follow-Ups**:**RE: st: RE: Fama-MacBeth regression***From:*"Francis, Richard N" <[email protected]>

**References**:**st: Fama-MacBeth regression***From:*Adrian Stork <[email protected]>

**st: RE: Fama-MacBeth regression***From:*"Francis, Richard N" <[email protected]>

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