FamaMacBeth regression
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 EViews Developer
 Posts: 91
 Joined: Thu Apr 18, 2013 8:37 am
Re: FamaMacBeth regression
you mean in every research we have this problem? because in all researches in this area, balance sheet data are annual but return data are monthly.

 EViews Developer
 Posts: 91
 Joined: Thu Apr 18, 2013 8:37 am
Re: FamaMacBeth regression
The question you asked is about frequency conversion/interpolation, not FamaMacBeth.
Re: FamaMacBeth regression
Hi,
why exactly do you provide the second regression, where you average the return over time and then doing one single regression?
What's "interesting"?
Can you avoid the assumption of no serial correlation, which you have in the first regression due to the assumption that the standard error of beta and pricing error estimates are treated as independent drawings of a common distribution in the second step?
Would be nice if you can provide me with some insight here.
why exactly do you provide the second regression, where you average the return over time and then doing one single regression?
What's "interesting"?
Can you avoid the assumption of no serial correlation, which you have in the first regression due to the assumption that the standard error of beta and pricing error estimates are treated as independent drawings of a common distribution in the second step?
Would be nice if you can provide me with some insight here.

 EViews Developer
 Posts: 91
 Joined: Thu Apr 18, 2013 8:37 am
Re: FamaMacBeth regression
Study some of the writing on FamaMacBeth, e.g. the papers here.
Re: FamaMacBeth regression
Hi,
I would like to know how I can attribute the saved bhat values to the original depended variables.
The add in saves bhat values for each independent variable c under r1, r2, ... ri instead of using the original name. I guess it uses the variables in the alphabetical order, which eviews also uses to display them in the workfile. Am I right?
To give an example: I use 25 portfolios and each portfolio has a certain number of returns over time. The Fama MacBeth add in makes a time series regression for each portfolio in the first step and saves the coefficients as bhat. There it lists the coefficients c1ci for each portfolio, but the portfolios are not named similar to their original name, but as r1r25. I need exactly to know, which r1r25 I can attribute to which portfolio.
Kinds
I would like to know how I can attribute the saved bhat values to the original depended variables.
The add in saves bhat values for each independent variable c under r1, r2, ... ri instead of using the original name. I guess it uses the variables in the alphabetical order, which eviews also uses to display them in the workfile. Am I right?
To give an example: I use 25 portfolios and each portfolio has a certain number of returns over time. The Fama MacBeth add in makes a time series regression for each portfolio in the first step and saves the coefficients as bhat. There it lists the coefficients c1ci for each portfolio, but the portfolios are not named similar to their original name, but as r1r25. I need exactly to know, which r1r25 I can attribute to which portfolio.
Kinds
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