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Fama Macbeth Add-in

Posted: Wed May 16, 2018 6:06 am
by leocaza

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.