Search found 113 matches
- Tue Jul 08, 2014 10:13 am
- Forum: Estimation
- Topic: Backtesting
- Replies: 2
- Views: 3531
Re: Backtesting
There are no built-in backtesting routines in EViews.
- Mon Jul 07, 2014 2:25 pm
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247606
Re: Fama-MacBeth regression
It should be very simple for you to modify the add-in to put the ts regression output into a spool. For example, in the add-in code replace the fragment beginning with "' calculate betas from ts regressions of portfolio/asset returns on market returns" with: ' calculate betas from ts regre...
- Tue Jul 01, 2014 8:56 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247606
Re: Fama-MacBeth regression
Don't wait for another update. Now that the add-in is producing the time series coefficients, it should be easier for you to follow Fama-French 1993 methodology.
- Mon Jun 30, 2014 1:34 pm
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247606
Re: Fama-MacBeth regression
I've added a line to the Fama-MacBeth add-in to produce the coefficients from the timeseries regressions. The updated program is now available for download and more details are in the documentation.
- Mon Jun 16, 2014 10:55 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247606
Re: Fama-MacBeth regression
Thanks for your feedback, but I have no immediate plans to enhance the add-in. To get what you want you could extract the piece of the program that does the first step (the time series regressions) and then modify this to get your time series output.
- Tue May 20, 2014 8:20 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247606
Re: Fama-MacBeth regression
I can't help you with that. There are many possible risk factors and how you determine them is up to you.
- Mon May 19, 2014 10:49 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247606
Re: Fama-MacBeth regression
I don't understand what you're asking. The add-in will calculate the betas for you from your risk factors.
- Tue May 13, 2014 9:36 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247606
Re: Fama-MacBeth regression
The Excel file you posted has 43 observations (including the NAs) but your example shows 50 observations. Where are your extra observations coming from? Also, this isn't necessary to solve your problem, but I noticed you've dropped the date information going from Excel to EViews. Keeping this might ...
- Tue May 13, 2014 9:07 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247606
Re: Fama-MacBeth regression
Works for me.
By the way, you can also enter the series as "p*" and " rf mk f*" (without the quotes).
By the way, you can also enter the series as "p*" and " rf mk f*" (without the quotes).
- Tue May 13, 2014 8:52 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247606
Re: Fama-MacBeth regression
If you look at your data you will see that series "p5" has NAs. The add-in will not work with NAs in series. One solution is to change the sample to exclude them.
- Wed May 07, 2014 9:57 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247606
Re: Fama-MacBeth regression
You will need to make some minor code changes. Change the size of "subbhat" to hold the additional variable, and add it before the cross-sectional regressions are done. Also change the size of "subgamma" to hold the coefficient from the additional variable and the size of the &qu...
- Tue Mar 11, 2014 9:12 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247606
Re: Fama-MacBeth regression
See Equation 1 in the documentation.
- Fri Mar 07, 2014 12:40 pm
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247606
Re: Fama-MacBeth regression
1. EViews simply reports the F-statistic. It's up to you to decide what significance level you want.
2. Since the cross-sectional average regression uses robust standard errors, use the robust F-statistic (Wald F-statistic).
2. Since the cross-sectional average regression uses robust standard errors, use the robust F-statistic (Wald F-statistic).
- Thu Mar 06, 2014 10:59 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247606
Re: Fama-MacBeth regression
There's no such thing as "gamma," as defined in the add-in, for individual portfolios. gamma is a measure of the premium you get from exposure to a certain risk factor. That's why there's one for each factor (plus the constant). I strongly suggest you read the documentation so you understa...
- Tue Mar 04, 2014 10:13 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 247606
Re: Fama-MacBeth regression
The Fama-MacBeth documentation will answer your questions.
1. See section 2 ("GUI") on how to enter portfolio returns and factors.
2. See equation 2 and surrounding text for the definition and use of gamma.
1. See section 2 ("GUI") on how to enter portfolio returns and factors.
2. See equation 2 and surrounding text for the definition and use of gamma.