Search found 7 matches

by fan
Wed Nov 05, 2014 2:51 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 88261

Re: Fama-MacBeth regression

EViews Rebecca wrote:Again, you need to post the workfile you're using.

This is my work file. I am trying estimate returns on pm1 to pm10 and pr11 to pr55. I am not sure why I am getting the error message. Thank you
by fan
Thu Oct 30, 2014 11:55 am
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 88261

Re: Fama-MacBeth regression

Can anyone help me understand why I am getting this error message: "MATRIX-VECTOR INDEX IS OUT OF RANGE IN "VECTOR RETIC=@TRANSPOSE@ROWEXTRACT(RM,J))" ? Many Thanks
by fan
Tue Oct 28, 2014 1:52 pm
Forum: Estimation
Topic: Generating Innovations from VAR(1)
Replies: 0
Views: 748

Generating Innovations from VAR(1)

Hi, I am new to Eviews. I am trying to generate innovations from a VAR(1) model. My question is how I can orthogonalize the innovations in the ordering as shown the model and scale them to have the variance as innovations to the first element (R_(m,t)). Thank you for the help.
by fan
Tue Oct 28, 2014 1:15 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 88261

Re: Fama-MacBeth regression

I am looking for help to implement following tests in the Fama-MacBeth regression. First, how can I include constant as a factor in the regression as many people do in their studies; second, how can I have the newey-west estimators from the time-series regressions and how can I test the joint signif...
by fan
Wed Oct 22, 2014 8:33 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 88261

Re: Fama-MacBeth regression

Are you using "r*" to enter your portfolio returns in the add-in? In that case you will include the "resid" series, which you probably don't want to do. One solution is to rename the returns series to something that won't overlap with other series in your workfile. thanks for th...
by fan
Tue Oct 21, 2014 10:30 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 88261

Re: Fama-MacBeth regression

EViews Rebecca wrote:Can you post the workfile you used?


Thanks for the reply. This is my workfile. I am looking forward to hearing from you.
by fan
Mon Oct 20, 2014 9:59 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 88261

Re: Fama-MacBeth regression

I am new to EViews. I am now trying to run Fama-MacBeth regression with my own data on the 25 portfolios. I followed the example however, I got the error message says " RESID not allowed. Generate another series equal to RESID in "EQUATION {%SUBRETS}(26) C FACS02". Could anyone tell m...

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