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Hi, I would like to know how I can attribute the saved bhat values to the original depended variables. The add in saves bhat values for each independent variable c under r1, r2, ... ri instead of using the original name. I guess it uses the variables in the alphabetical order, which eviews also uses...

Hi, why exactly do you provide the second regression, where you average the return over time and then doing one single regression? What's "interesting"? Can you avoid the assumption of no serial correlation, which you have in the first regression due to the assumption that the standard err...

Hi,

is there any chance to see the output of the first-stage estimation, when using GMM based on a system?
This would allow me to look at the results using an identity matrix, which as I read is not possible to choose as a weighing matrix as a default setting.

Hope you can help me out!
Best
Damian

Hi, I did a GMM system estiamtion as well as a Fama MacBeth (with the add in). I analyse the classical asset pricing theory having 25 portfolios with with 600 monthly obserations each, which I regress on three independent variables and a constant. Now, I would like to test for autocorrelation, heter...