Dear all,

I want to estimate betas of the Fama French Model for every year. I have got weekly returns and I am using the following loop:


foreach variable of varlist r_share* {
sum `variable' if year == 1991
if r(N) >= 52 {
scalar lagged = floor(4*(r(N)/100)^(2/9))
newey `variable' r_sp500 smb hml if year == 1991, lag(`= lagged')
}
else {
display "Not enough observations"
}
matrix matrix_1991 = nullmat(matrix_1991) \ e(b)
}


Variables:
r_share = return share
smb = Fama French factor
hml = Fama French factor
r_sp500 = return s&p500

The loop is working fine there is just one problem and I am not able to solve this. As I need all the estimated betas in a matrix afterwards (matrix_1991) and I have got missing observations (for the Y-values) how can I tell stata to save "." in the matrix when there are "Not enough observations"?

So if I have got enought observations Stata should do the newey west regression and if not it should just store . for all coefficients.

Hopefully somebody can help me out!

BR

Ikn