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Okay, my question is not regarding the factors, but rather about the portfolio creation. In your file you name them 11 to 15 and than 21to 25, probably because it is a 5x5 portfolio. my question is if the way you name the portfolios has an impact on the fama macbeth regression.

Hi, i have to run several fama-macbeth regressions for my factors. I'm not that familiar with eviews but i think i understand how your code works. i wanted to test if the hml factor yields the same risk premium and t-stat as it did in your example. I did it for a 30 industry and 49 industry portfoli...