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From |
Richard Herron <[email protected]> |

To |
[email protected] |

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

Date |
Fri, 3 Jan 2014 14:54:13 -0500 |

You code fails because you subset to both month *and* portfolio, which is a regression with one data point. I would -reshape long-, then use -statsby- to run the cross-sectional regression. You could also -reshape long- then use -xtfmb- from SSC. Does the following help? * * * * * clear * generate test data set obs 200 generate date = _n - 1 + ym(1987, 1) format date %tm foreach v of newlist bm1 bm2 bm3 size1 size2 size3 { generate ret`v' = 5 + 10*rnormal() generate beta`v' = 0.5 + runiform() } list in 1/10 * reshape to long reshape long beta ret, i(date) j(portfolio) string preserve // I'll show two ways to do the Fama-MacBeth * then run cross-sectional regression each month statsby, by(date) clear: regress ret beta format date %tm list in 1/10 * generate time series means and SEs summarize, detail collapse (mean) mean_beta = _b_beta /// mean_alpha = _b_cons /// (semean) se_beta = _b_beta /// se_alpha = _b_cons list * could also use xtfmb package from SSC restore encode portfolio, generate(p) xtset p date xtfmb ret beta On Fri, Jan 3, 2014 at 2:08 PM, Francis, Richard N <[email protected]> wrote: > Adrian, > > I'm sorry. Hope you find what you need! > > 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 12:02 PM > To: [email protected] > Subject: Re: st: RE: Fama-MacBeth regression > > 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 >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/faqs/resources/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/faqs/resources/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/faqs/resources/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/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: RE: Fama-MacBeth regression***From:*Adrian Stork <[email protected]>

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

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

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

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

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