Re: st: RE: Fama-MacBeth regression

[Adrian Stork <storkadrian@googlemail.com>]

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 <rnfrancis@utep.edu>:
> 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:  rnfrancis@utep.edu
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Adrian Stork
> Sent: Friday, January 03, 2014 11:23 AM
> To: statalist@hsphsun2.harvard.edu
> 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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