Fama Macbeth Add-in

For questions regarding programming in the EViews programming language.

Moderators: EViews Gareth, EViews Jason, EViews Moderator

Posts: 4
Joined: Mon Nov 27, 2017 7:18 am

Fama Macbeth Add-in

Postby leocaza » Wed May 16, 2018 6:06 am


Why do we need to have as many portfolios as there are list of factors for the add-in to work? What is the mathematical logic?

I thought we could test one portfolio / factor at a time with all the FAMA factors as independent variable.

fmb(action=new, spoolname=total_result) total* hml mkt smb umd

This function only work if total* contain more than 4 elements.

Can you give me a better understanding?

P.S. I've read the FAMA_MACBETH pdf in the add-in file by the way.


Return to “Programming”

Who is online

Users browsing this forum: Google [Bot] and 4 guests