### Re: Fama-MacBeth regression

Posted:

**Mon Nov 17, 2014 12:43 pm**You will have to modify the code to do this yourself.

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Posted: **Mon Nov 17, 2014 12:43 pm**

You will have to modify the code to do this yourself.

Posted: **Tue Nov 18, 2014 12:51 pm**

difficult for me to modify the program i'm not an expert like you

it's very important for me to use this Add-in in three methods OLS, GLS and GMM.

it's very important for me to use this Add-in in three methods OLS, GLS and GMM.

Posted: **Sat Feb 14, 2015 2:22 am**

how can show the graph of linear regression for the first and second step in the spool object.

Kind Regards. MED

Kind Regards. MED

Posted: **Fri Feb 20, 2015 3:24 pm**

What exactly do you want to show?

Posted: **Sun Feb 22, 2015 9:40 am**

1-show regression line with scartter: pr11 c rmkt, pr12 c rmkt,...etc (the first step); it takes a long time to do this.

2-show regression line with scartter: avrgrate c beta01 (the second step).

3-how can store the avrgrate in the series and calculate it by the command (i can do this manually)?

i hope that you understand me now.

Kind Regards. MED

2-show regression line with scartter: avrgrate c beta01 (the second step).

3-how can store the avrgrate in the series and calculate it by the command (i can do this manually)?

i hope that you understand me now.

Kind Regards. MED

Posted: **Mon Feb 23, 2015 12:57 pm**

Are you asking how to do this with commands?

For #1 and #2, use

And so on. This code fragment can go in a loop.

For #3, look in the code to see how avgrets is calculated.

For #1 and #2, use

Code: Select all

`group g1 rmkt pr11`

g1.scat linefit

And so on. This code fragment can go in a loop.

For #3, look in the code to see how avgrets is calculated.

Posted: **Fri May 29, 2015 4:26 pm**

Hi guys!! I am new here at forum.

I was told to run fama-macbeth and take the fitted/predicted values of the regression(about debt and leverage factors) :**D = pr +s+ gr+ tng+ nbts+ dr+ liq **and then, use them as proxy for the target debt of each firm. How i can take the predicted/fitted values of the aforementioned regression by using fama-macbeth ?

Thank you in advance!

I was told to run fama-macbeth and take the fitted/predicted values of the regression(about debt and leverage factors) :

Thank you in advance!

Posted: **Sat Aug 29, 2015 11:13 am**

Hi!

I'm hoping someone can help. I'm trying to use the Fama-MacBeth add-in to test the relationship between abnormal returns (alpha) and expense ratios of mutual funds (see for example Carhart 1997). So I have the raw return data for the mutual funds, alongside the return data on the Fama French factors (exrm, smb, hml) and Carhart's momentum factor (mom). Hypothetically, if I were to also obtain the expense ratio data, how would I use the Fama-MacBeth add-in to analyse this relationship?

I'm hoping someone can help. I'm trying to use the Fama-MacBeth add-in to test the relationship between abnormal returns (alpha) and expense ratios of mutual funds (see for example Carhart 1997). So I have the raw return data for the mutual funds, alongside the return data on the Fama French factors (exrm, smb, hml) and Carhart's momentum factor (mom). Hypothetically, if I were to also obtain the expense ratio data, how would I use the Fama-MacBeth add-in to analyse this relationship?

Posted: **Sat Aug 29, 2015 11:46 am**

kwasiyeboah42 wrote:Hi!

I'm hoping someone can help. I'm trying to use the Fama-MacBeth add-in to test the relationship between abnormal returns (alpha) and expense ratios of mutual funds (see for example Carhart 1997). So I have the raw return data for the mutual funds, alongside the return data on the Fama French factors (exrm, smb, hml) and Carhart's momentum factor (mom). Hypothetically, if I were to also obtain the expense ratio data, how would I use the Fama-MacBeth add-in to analyse this relationship?

The example in the add-in only assesses the sensitivity of all portfolios to one column vector (rmkt). But I want to assess each portfolio's sensitivity to it's own expense ratio? I'm not sure if the Fama-MacBeth can do this or if I should be looking at the loop/roll programming stuff?

Posted: **Tue Sep 08, 2015 1:59 pm**

It's not clear to me what you want to do. The first step of the Fama-MacBeth regression will regress your portfolio returns on whatever factors you choose. The resulting betas (see Equation 1 in the doc) are reported in the "bhat" object.

Posted: **Sun Sep 27, 2015 3:39 pm**

Hi,

i'm trying to run the Fama-MacBeth Regression. I have one dependent variable and 10 independent. However, I receive the message 'near singular matrix in rowplace(g, @transpose(@inverse(@transpose(design) * design) * @transpose(design) * retvec), j)'. Then it creates an object called retsm01. What is it? How can I solve it?

Thanks

i'm trying to run the Fama-MacBeth Regression. I have one dependent variable and 10 independent. However, I receive the message 'near singular matrix in rowplace(g, @transpose(@inverse(@transpose(design) * design) * @transpose(design) * retvec), j)'. Then it creates an object called retsm01. What is it? How can I solve it?

Thanks

Posted: **Mon Sep 28, 2015 11:13 am**

Can you post your workfile?

Posted: **Tue Sep 29, 2015 2:07 pm**

EViews Rebecca wrote:Can you post your workfile?

Posted: **Wed Sep 30, 2015 6:03 am**

Belca wrote:EViews Rebecca wrote:Can you post your workfile?

The dependent value is cash_assets and factors are the ones starting with F*

Posted: **Wed Sep 30, 2015 4:05 pm**

I noticed that your workfile only has one dependent variable. Fama-MacBeth is intended for a portfolio of assets. Using only one asset will lead to problems in the cross-sectional regression step. See Equation 2 in the doc.