Hello, I want to run Fama Macbeth cross sectional regression of monthly excess return of 500 securities. My data is from July 2005 to June 2019. But some securities prices are not available from July 2005. Therefore, the returns of all securities are not starting from July 2005.
There are two steps in the Fama and MacBeth (1973) regression analysis. In first step, each month we estimation cross-sectional regression. in second step, we compute T time-series averages of the coefficients which we get from cross-sectional regressions.
This entire process needs much calculation. Is there any way of doing this with less effort which can save time also?
Thank you
Priya
Related Posts with Fama Macbeth cross sectional regression
IV-Regression with ivreg2- Does not save first stageHello there, I am instrumenting my governance variable with politics variables. However my code doe…
Graphing comparison of model using linear age splines vs age dummiesHello, I have a OLS cost model with the cost of health care as the dependent variable and a series …
kappaetc commandDear All, I am trying to use for the first time the command kappaetc. Unfortunately, it gives me ba…
Proportion VariableHello Statalisters, I have a dataset where I am trying to calculate the proportion variable represe…
Weighted correlationHey guys, I am currently writing my thesis and currently struggle with the implementation of my mod…
Subscribe to:
Post Comments (Atom)
0 Response to Fama Macbeth cross sectional regression
Post a Comment