Fama Macbeth Add-in

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Statistiek
Posts: 1
Joined: Mon Jul 04, 2016 4:48 am

Fama Macbeth Add-in

Postby Statistiek » Mon Jul 04, 2016 5:04 am

Hi,

I am trying to run a FM regression. My Excel file looks like this:

FirmIdentifier Year StockReturn ProfitRatio R&DRatio (and other variables)
1001 2009 8.56 ...
1001 2010 4.23 ...
1001 2011 -1.34 ...
1001 2012 -1.36 ...
1002 2009 2.45 ...
1002 2010 2.56 ...
...

In the FM Add-in I enter
List of portfolio/assets returns: StockReturn
List of factor names R&DRatio (just one example)
Put results into: results

Then receive the following error:
Near singular matrix in "ROWPLACE(G, @TRANSPOSE
(@INVERSE(@TRANSPOSE(DESIGN) * DESIGN) *
@TRANSPOSE(DESIGN) * RETVEC), J)".

Can anyone help explaining me what I am doing wrong?
Thank you!

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