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.
For questions regarding programming in the EViews programming language.
1 post • Page 1 of 1
Who is online
Users browsing this forum: No registered users and 11 guests