Hi Again
Could you explain how the code sets the number of lags for the Newey and West (1987) adjustment?
Is it automatically 4(T/100)^a (apparently what many econometrics software use)?
T = number of periods, a = 2/9 when using Bartlett kernel.
Thank you.
Search found 5 matches
- Sat Apr 01, 2017 2:35 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 249304
- Fri Mar 10, 2017 5:38 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 249304
Re: Fama-MacBeth regression
Thank you for the swift replies, I really appreciate the support. Okay, I now understand what you are saying. In Fama & French (1992) "The Cross-Section of Expected Stock Returns" they seem to use multiple sets of risk factors for each return series. Is this correct? Are you saying the...
- Wed Mar 08, 2017 12:45 pm
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 249304
Re: Fama-MacBeth regression
I have read all of it yes. I have read Fama & Macbeth (1973) and Fama & French (1992; 1993) too. Perhaps I am missing something obvious - I have not been taught this stuff formally, only self-taught.
- Wed Mar 08, 2017 6:45 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 249304
Re: Fama-MacBeth regression
I am asking if the risk-factors can be a matrix? I have added my own stock returns into the fm_example workspace. My files are called er_01, er_02 etc. I can then perform the FMB regression: fmb er* hml smb mkt_rf. Because the risk factors (hml, smb, mkt_rf) are fixed for all dependent variables, er...
- Tue Mar 07, 2017 5:39 pm
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 249304
Re: Fama-MacBeth regression
Hi I have read all of the comments on this thread and found a lot of them useful, so thanks. I have an issue with the FM Model though. In the example files provided by the Add-In, the FMB regression is run using SMB, HML and Mkt_R as independent variables (IVs). Some other studies and examples in th...