Hello everyone, I am a graduate student from Japan.New guy here.This is my first post, thank you for watching.
I have some problem in my reserch about facor model, I managed to get the beta-coefficients from the first-pass regression but now I'm stuck at the second-pass CSR.
I did not use the asset portfolio but used the return of individual stocks cause I wanna see the result. So my dataset looks currently like this (don't have timeline):
stock_num _b_rmrf _b_smb _b_hml _b_cons _se_rmrf _se_smb _se_hml _se_cons
1 .0105404 .006652 .004455 .0024682 .0009126 .0023689 .0014434 .0044932
2 .0108077 .0065556 .0069412 -.0021143 .0009641 .0017155 .001284 .0040049
3 .0092218 .0031172 .0062981 .0017254 .0007646 .0010788 .0011947 .0036841
4 .0090816 .0067524 .0045218 .0007574 .0006437 .001152 .0014695 .0038171
5 .0063172 .0066778 .0032516 .001176 .001418 .0030843 .0027217 .007581
6 .0126918 .0103988 .0092053 -.0058024 .0011381 .0023021 .0026991 .00697
7 .0110675 .0133289 .0077426 -.002969 .0009794 .0016681 .002148 .0045315
8 .0067155 .0080598 .0021371 -.0030135 .0020149 .0052423 .0038237 .0094335
9 .0056429 .0021155 .0017127 .0008169 .0006394 .001037 .0010404 .0029972
10 .0045019 .0026487 .0022992 -.0011379 .0009762 .0020839 .0016779 .0046314
11 .0120853 .0152096 .0018089 -.0158933 .0024039 .0065615 .0062309 .0123758
12 .0080364 .0231562 .0333339 .0128133 .0063269 .0358441 .022438 .0402175
13 .0049572 .007217 .0093979 .0109655 .0014223 .0025739 .0033637 .005815
14 .0076725 .0081863 .007377 .0052172 .0014313 .0029621 .0031207 .0069191
etc.
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).
Related Posts with About FamaMacbeth Regression
convert panel data from annual to monthly dataHere is my panel data, and I want to convert the dataset from annually to monthly data. So can we re…
Create two-way line graph with shaded confidence intervals from dstdize resultsHello, I am struggling to create a simple, two-way line graph representing the results from my stand…
Adding error bars to bar graphHi all, can someone please assist me with how to add error bars to the bar graph attached. Thanks. …
Reshape wide to longHi I have a question using the code -reshape-. For each year denoted by alphabet 'a' to 'd'. Ex) 20…
List values of one variable in blocksDear Stata users, I have a name list, and I want to list these names in blocks according to a crite…
Subscribe to:
Post Comments (Atom)
0 Response to About FamaMacbeth Regression
Post a Comment