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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...

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.

Are you using "r*" to enter your portfolio returns in the add-in? In that case you will include the "resid" series, which you probably don't want to do. One solution is to rename the returns series to something that won't overlap with other series in your workfile.

Can you post the workfile you used?

Your "tk" series have NAs in them. As I've mentioned before, the add-in will not work if your series have NAs.

They get set in your logl program.

These models are very sensitive to starting values. Try playing around with those.

Your program code looks fine. What is your question?

It looks like you're on the right track, so break the calculation up into steps and examine each piece.

I would start debugging this by breaking up your R2 calculation into pieces instead of doing it all in one long line. It should be easier to find the error that way.

How are you trying to incorporate R squared?

Maverick wrote:Also it would be nice to understand the purpose of design=1 in the below code?

matrix(n_p, n_f + 1) design = 1

This fills the matrix "design" with ones.

Hi, I also need to incorporate r square into the code. I understand the first part of the fmb subprogram, but not the following part of the operation in the program: @transpose(@inverse(@transpose(design) * design) _ * @transpose(design) * retvec) If someone can help me understand this part it woul...

Also I have a question regarding the second table output from the add-in function, are the betas reported in table 2 average betas from the first regression? They are betas from a second regression that use the betas from the first timeseries regression as regressors. See equation 4 in the document...

Dialogs in EViews generally don't allow you to set samples, so I would suggest simply using the workfile sample.