Search found 96 matches

by EViews Rebecca
Tue Sep 08, 2015 1:59 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 94997

Re: Fama-MacBeth regression

It's not clear to me what you want to do. The first step of the Fama-MacBeth regression will regress your portfolio returns on whatever factors you choose. The resulting betas (see Equation 1 in the doc) are reported in the "bhat" object.
by EViews Rebecca
Fri Jul 10, 2015 5:16 pm
Forum: Bug Reports
Topic: extract threshold values
Replies: 1
Views: 1219

Re: extract threshold values

You are correct. This will be fixed in the next patch.
by EViews Rebecca
Wed Jun 03, 2015 12:05 pm
Forum: Data Manipulation
Topic: Low to High Frequency Conversion
Replies: 2
Views: 1293

Re: Low to High Frequency Conversion

What subset are you thinking of? EViews uses, for the most part, the entire indicator series. If your benchmark series is shorter than the indicator series then naturally the portion of the indicator series matching the benchmark is used.
by EViews Rebecca
Tue Apr 28, 2015 3:10 pm
Forum: Bug Reports
Topic: Save to Disk --> .TeX (special characters)
Replies: 1
Views: 926

Re: Save to Disk --> .TeX (special characters)

Support for pound, euro, and yen will be added in the next patch.
by EViews Rebecca
Fri Apr 24, 2015 5:21 pm
Forum: Estimation
Topic: What do I do wrong?
Replies: 3
Views: 1128

Re: What do I do wrong?

You have no threshold regressors, yet you're specifying a threshold variable.
by EViews Rebecca
Wed Apr 22, 2015 1:26 pm
Forum: Add-in Support
Topic: Fama-Macbeth Regression: P-values
Replies: 6
Views: 3739

Re: Fama-Macbeth Regression: P-values

What do you mean by "data of fama-macbeth model"?
by EViews Rebecca
Mon Feb 23, 2015 12:57 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 94997

Re: Fama-MacBeth regression

Are you asking how to do this with commands?

For #1 and #2, use

Code: Select all

group g1 rmkt pr11
g1.scat linefit

And so on. This code fragment can go in a loop.

For #3, look in the code to see how avgrets is calculated.
by EViews Rebecca
Fri Feb 20, 2015 3:24 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 94997

Re: Fama-MacBeth regression

What exactly do you want to show?
by EViews Rebecca
Mon Nov 17, 2014 12:43 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 94997

Re: Fama-MacBeth regression

You will have to modify the code to do this yourself.
by EViews Rebecca
Thu Nov 06, 2014 7:57 am
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 94997

Re: Fama-MacBeth regression

Works for me.
by EViews Rebecca
Thu Oct 30, 2014 1:26 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 94997

Re: Fama-MacBeth regression

Again, you need to post the workfile you're using.
by EViews Rebecca
Wed Oct 29, 2014 1:17 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 94997

Re: Fama-MacBeth regression

I would talk my case in details. I had 100 asset returns (in 36 months), monthly returns were estimated a below picture http://i1128.photobucket.com/albums/m486/vickyzao/myissue.png To use addin in Eviews, my workfile inclueded: + rm* (representative rm1, rm2,..., rm100: monthly returns of stock 1,...
by EViews Rebecca
Tue Oct 28, 2014 2:24 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 94997

Re: Fama-MacBeth regression

First of all, make sure that you have EViews version 7.x or higher. Then, download the add-in and run the installation program (or simply unzip it). It will upload a documentation file into the related folder (C:\Users\...\Documents\EViews Addins\...), where you can find your answers. 1 point that ...
by EViews Rebecca
Tue Oct 28, 2014 2:23 pm
Forum: Add-in Support
Topic: Fama-MacBeth regression
Replies: 156
Views: 94997

Re: Fama-MacBeth regression

I am looking for help to implement following tests in the Fama-MacBeth regression. First, how can I include constant as a factor in the regression as many people do in their studies; second, how can I have the newey-west estimators from the time-series regressions and how can I test the joint signi...
by EViews Rebecca
Thu Oct 23, 2014 2:46 pm
Forum: Add-in Support
Topic: Fama-Macbeth Regression: P-values
Replies: 6
Views: 3739

Re: Fama-Macbeth Regression: P-values

If you want to extract p-values directly from the spool you can pull them out of the individual table cells into a vector. For example: example_results.extract(stats) GAMMA_SUMMARY_1 vector(2) vec1 vec1(1) = stats(15,2) vec1(2) = stats(15,3) You can also put it into a loop for more flexibility.

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