Search found 5 matches

by mick1987
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?
by mick1987
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??
by mick1987
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?
by mick1987
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.
by mick1987
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!

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