I am trying to run a Fama-MacBeth regression with multiple independent variables. The dependent variable is the firm bond return this month, the independent variables are the lagged bond returns for each of the last 12 months. However, due to my construction method, the returns of some months cannot be calculated and I set them to missing values. The problem is that when I ran the FM regression with lagged 12 month returns, STATA will automatically drop the observations with even one missing return in the last 12 months. And this more than halved the number of observations I have. As a result, I do not have enough statistical power.
Is there a way in STATA to adjust the missing variables problem in FM regression? Thanks a lot!
Related Posts with Fama MacBeth Regression with missing explanatory variables
Year omitted becuase of collinearity (DID)Hi, I am doing DID regression. I have 12 years of data. I have included 'year' variable for fixed y…
2sls regressionGood afternoon. I have a dataset with these information: - education: dummy skilled/not skilled - A…
Effect of a policyHi there, I need to work out the effect of a policy that was introduced in 2007, which raises the to…
Changing axis labels using mrgraph command (mrtab module)I have been using the mrgraph command from the mrtab module to help deal with multiple response ques…
How to create observations for missing yearsHey, I want to create new observations for missing years. For example, I have data on wages and mont…
Subscribe to:
Post Comments (Atom)
0 Response to Fama MacBeth Regression with missing explanatory variables
Post a Comment