FamaMacBeth regression
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 EViews Developer
 Posts: 89
 Joined: Thu Apr 18, 2013 8:37 am
Re: FamaMacBeth regression
Can you post the workfile you used?
Re: FamaMacBeth regression
EViews Rebecca wrote:Can you post the workfile you used?
Thanks for the reply. This is my workfile. I am looking forward to hearing from you.
 Attachments

 myworkfile.wf1
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 EViews Developer
 Posts: 89
 Joined: Thu Apr 18, 2013 8:37 am
Re: FamaMacBeth regression
Are you using "r*" to enter your portfolio returns in the addin? 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.
Re: FamaMacBeth regression
EViews Rebecca wrote:Are you using "r*" to enter your portfolio returns in the addin? 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.
thanks for the reply.
Re: FamaMacBeth regression
I am looking for help to implement following tests in the FamaMacBeth 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 neweywest estimators from the timeseries regressions and how can I test the joint significance of the loadings via SUR system; third, how can I have the tstatistics which are adjusted for errorsinvariables following Shanken (1992) and how can I have the adjusted R2 follows Jagannathan and Wang (1996) in the crosssectional regressions. Thank you for your help
Re: FamaMacBeth regression
trubador wrote:First of all, make sure that you have EViews version 7.x or higher. Then, download the addin 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 i could not understand in file "fm_example". For specific rmkt is a factor, it had value during the period, so these values corresponded with pr11 or pr12 ,..? What about for each portofilios/asset return. X is a factor, in general, X has panel data (for example 25 porfolios, 588 observations), how can it be showed in a sheet? . Could anyone help me how to present a factor in a workfile? Could you please tell me soon?
Thank you so much for your help.

 EViews Developer
 Posts: 89
 Joined: Thu Apr 18, 2013 8:37 am
Re: FamaMacBeth regression
fan wrote:I am looking for help to implement following tests in the FamaMacBeth 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 neweywest estimators from the timeseries regressions and how can I test the joint significance of the loadings via SUR system; third, how can I have the tstatistics which are adjusted for errorsinvariables following Shanken (1992) and how can I have the adjusted R2 follows Jagannathan and Wang (1996) in the crosssectional regressions. Thank you for your help
To answer your first question, look at equations 1 and 2 in the documentation. Your other questions are not covered by the addin and you will need to do them yourself.

 EViews Developer
 Posts: 89
 Joined: Thu Apr 18, 2013 8:37 am
Re: FamaMacBeth regression
vickyzao wrote:trubador wrote:First of all, make sure that you have EViews version 7.x or higher. Then, download the addin 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 i could not understand in file "fm_example". For specific rmkt is a factor, it had value during the period, so these values corresponded with pr11 or pr12 ,..? What about for each portofilios/asset return. X is a factor, in general, X has panel data (for example 25 porfolios, 588 observations), how can it be showed in a sheet? . Could anyone help me how to present a factor in a workfile? Could you please tell me soon?
Thank you so much for your help.
I don't understand what you're asking.
Re: FamaMacBeth 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, 2, ...., 100) in 36 months
+ factors: lnBM, lnMV, E_A, E_Y, 4 variables
Hope this picture help you understand me
I am waitng for your reply
Thanks
To use addin in Eviews, my workfile inclueded:
+ rm* (representative rm1, rm2,..., rm100: monthly returns of stock 1, 2, ...., 100) in 36 months
+ factors: lnBM, lnMV, E_A, E_Y, 4 variables
Hope this picture help you understand me
I am waitng for your reply
Thanks

 EViews Developer
 Posts: 89
 Joined: Thu Apr 18, 2013 8:37 am
Re: FamaMacBeth regression
vickyzao wrote: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, 2, ...., 100) in 36 months
+ factors: lnBM, lnMV, E_A, E_Y, 4 variables
Hope this picture help you understand me
I am waitng for your reply
Thanks
The addin does not handle factors that consist of multiple series.
Re: FamaMacBeth regression
Can anyone help me understand why I am getting this error message: "MATRIXVECTOR INDEX IS OUT OF RANGE IN "VECTOR RETIC=@TRANSPOSE@ROWEXTRACT(RM,J))" ? Many Thanks

 EViews Developer
 Posts: 89
 Joined: Thu Apr 18, 2013 8:37 am
Re: FamaMacBeth regression
Again, you need to post the workfile you're using.
Re: FamaMacBeth regression
EViews Rebecca wrote:Again, you need to post the workfile you're using.
This is my work file. I am trying estimate returns on pm1 to pm10 and pr11 to pr55. I am not sure why I am getting the error message. Thank you
 Attachments

 25 portoilo.WF1
 (220.89 KiB) Downloaded 200 times

 EViews Developer
 Posts: 89
 Joined: Thu Apr 18, 2013 8:37 am
Re: FamaMacBeth regression
Works for me.
Re: FamaMacBeth regression
hi,
how can use GLS or GMM instead OLS in this addin?
1suppose that pr* and rmkt are autocorrelation i can modifie the code to add ar(1) in the end of equation, but the problem i lose one observation (nobs=587)
how can generate error equations (E(i)=c(i)*Ei(1)) for each equations (pr11 c rmkt, pr12 c rmkt,...etc), and use the c(i) to transform the observation to make the first step of regression of FamaMacbeth and show all equation in the spool objects resolt and importe the c(i) in the vector, and show the transformed series pr* and rmkt.
same problem with the second step if i add ar(1) in the end of equation i lose 1 observation (n=24)
2how can make FamaMacbeth with GMM?
how can use GLS or GMM instead OLS in this addin?
1suppose that pr* and rmkt are autocorrelation i can modifie the code to add ar(1) in the end of equation, but the problem i lose one observation (nobs=587)
Code: Select all
equation {%subbetaeq}.ls {%subrets}(!i) c {%subfacs} ar(1)
how can generate error equations (E(i)=c(i)*Ei(1)) for each equations (pr11 c rmkt, pr12 c rmkt,...etc), and use the c(i) to transform the observation to make the first step of regression of FamaMacbeth and show all equation in the spool objects resolt and importe the c(i) in the vector, and show the transformed series pr* and rmkt.
same problem with the second step if i add ar(1) in the end of equation i lose 1 observation (n=24)
Code: Select all
equation {%subcsavg}.ls avgrets c betag ar(1)
2how can make FamaMacbeth with GMM?
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