Search found 2 matches
- Thu Apr 13, 2017 12:53 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 249947
Re: Fama-MacBeth regression
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.
- Wed Apr 12, 2017 12:34 pm
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 249947
Re: 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...