Search found 5 matches
- Mon Aug 04, 2014 5:57 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247584
Re: Fama-MacBeth regression
Also I have a question regarding the second table output from the add-in function, are the betas reported in table 2 average betas from the first regression?
- Mon Aug 04, 2014 5:53 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247584
Re: Fama-MacBeth regression
Sorry for the diffusing question.. what I'm asking about is that the roll add-in function reports the r squares.. can I use their way to get the r square incorporated into the fama-macbeth add-in??
- Mon Aug 04, 2014 5:42 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247584
Re: Fama-MacBeth regression
Thanks. I have tried to understand how the rolling add-in function in eviews works and also tried to implement it. Do you think I can apply the same method as in the roll code for the add-in?
- Mon Aug 04, 2014 12:35 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247584
Re: Fama-MacBeth regression
The second regression where the cross-sectional regression is done.
- Sun Aug 03, 2014 12:01 pm
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247584
Re: Fama-MacBeth regression
Hi, I would like some tips on how to modify the fama-macbeth code such that I also get the R squared of the regression. Thanks in advance!