Search found 91 matches

by EViews Rebecca
Tue Feb 27, 2018 12:58 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 68368

Re: Fama-MacBeth regression

Study some of the writing on Fama-MacBeth, e.g. the papers here.
by EViews Rebecca
Tue Feb 13, 2018 4:48 pm
Forum: Programming
Topic: Problems with com server after 9.5 upgrade
Replies: 5
Views: 365

Re: Problems with com server after 9.5 upgrade

Can you post the data and python commands you used?
by EViews Rebecca
Sun Aug 27, 2017 10:53 pm
Forum: Bug Reports
Topic: Live statistics
Replies: 2
Views: 750

Re: Live statistics

It's an interesting idea. We'll look into it.
by EViews Rebecca
Tue Jul 11, 2017 2:55 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 68368

Re: Fama-MacBeth regression

The question you asked is about frequency conversion/interpolation, not Fama-MacBeth.
by EViews Rebecca
Mon Jul 10, 2017 11:41 am
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 68368

Re: Fama-MacBeth regression

This is a frequency conversion/interpolation problem. EViews has several procedures for doing this: see here and here.
by EViews Rebecca
Thu Apr 13, 2017 11:34 am
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 68368

Re: Fama-MacBeth regression

It's not clear why you think the portfolio names would impact the regression. The portfolio names in the example are arbitrary (I downloaded the series from Ken French's data library and simply renamed them - the frenchdata add-in is an easy way to download). Furthermore the same set of factors is u...
by EViews Rebecca
Wed Apr 12, 2017 9:54 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 68368

Re: Fama-MacBeth regression

I'm not sure what you mean. The example uses rmkt, not hml.
by EViews Rebecca
Mon Apr 03, 2017 9:25 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 68368

Re: Fama-MacBeth regression

You can find more information about EViews standard errors at http://www.eviews.com/help/helpintro.ht ... rrors.html and for the add-in in the output.
by EViews Rebecca
Fri Mar 10, 2017 4:59 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 68368

Re: Fama-MacBeth regression

You should read both papers, particularly FF92, more thoroughly.

The add-in works the way it is described in the documentation.
by EViews Rebecca
Wed Mar 08, 2017 1:36 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 68368

Re: Fama-MacBeth regression

If you are asking whether you can force the addin to perform Fama-MacBeth on multiple sets of risk factors at the same time, the answer is no. Fama-MacBeth examines the risk premia from exposure to a common set of factors, not different factors for each return series. I suspect there is something yo...
by EViews Rebecca
Wed Mar 08, 2017 12:27 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 68368

Re: Fama-MacBeth regression

Have you read the add-in documentation?
by EViews Rebecca
Tue Mar 07, 2017 5:51 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 68368

Re: Fama-MacBeth regression

What exactly are you asking?

The answer to your question #1 is No.
by EViews Rebecca
Thu Mar 02, 2017 6:59 am
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 68368

Re: Fama-MacBeth regression

You will need to post the EViews workfile itself for me to help you.
by EViews Rebecca
Wed Mar 01, 2017 11:41 am
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 68368

Re: Fama-MacBeth regression

Can you post your workfile and what exactly you are doing that is not working?

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