Dear All,
I'm working with Fama & MacBeth regressions. My sample is divided in quintiles and I run one regression for each quintile. Below, the code for the first and the last quintile.
regress ex_ret mkt smb hml if tin(1,8199) & port_BTM==1
regress ex_ret mkt smb hml if tin(1,8199) & port_BTM==5
So, I need to know if the difference between the coefficients for the last and the first quintile (for the same variable) are equal to zero.
Does anyone have any idea about how to do this?
Thank you!
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