Fama-MacBeth Error

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Joined: Wed Feb 24, 2021 4:18 am

Fama-MacBeth Error

Postby diana_1998 » Wed Feb 24, 2021 4:33 am

Hi, there!

I'm currently trying to run a Fama-MacBeth regression for my data, but after I use the add-in to run it, appears the following error. Can you please help me to understand what is wrong and how can I fix it, please?
I have data for various companies, and when importing the data, the eviews imports the different variables with the data for each company(asset). I want to do the regressions for all the companies. I don't know if I need to create a portfolio for these companies in order to run the regression.
What I did was putting in the list portfolio/asset returns the returns and then in the list of factors names, the factors I want to include (I will add a print so you can see).
I really need your help, because I don't know if this is right or how I should do it.

Thank you so much!
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Error_FamaMacBeth.PNG (8.15 KiB) Viewed 295 times

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