FamaMacBeth regression
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 EViews Developer
 Posts: 96
 Joined: Thu Apr 18, 2013 8:37 am
Re: FamaMacBeth regression
You will have to modify the code to do this yourself.
Re: FamaMacBeth regression
difficult for me to modify the program i'm not an expert like you
it's very important for me to use this Addin in three methods OLS, GLS and GMM.
it's very important for me to use this Addin in three methods OLS, GLS and GMM.
Re: FamaMacBeth regression
how can show the graph of linear regression for the first and second step in the spool object.
Kind Regards. MED
Kind Regards. MED

 EViews Developer
 Posts: 96
 Joined: Thu Apr 18, 2013 8:37 am
Re: FamaMacBeth regression
What exactly do you want to show?
Re: FamaMacBeth regression
1show regression line with scartter: pr11 c rmkt, pr12 c rmkt,...etc (the first step); it takes a long time to do this.
2show regression line with scartter: avrgrate c beta01 (the second step).
3how 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
2show regression line with scartter: avrgrate c beta01 (the second step).
3how 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
 Attachments

 reg_step1.gif (4.48 KiB) Viewed 8852 times

 EViews Developer
 Posts: 96
 Joined: Thu Apr 18, 2013 8:37 am
Re: FamaMacBeth regression
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.

 Posts: 1
 Joined: Fri May 29, 2015 4:19 pm
FamaMacBeth regression
Hi guys!! I am new here at forum.
I was told to run famamacbeth 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 famamacbeth ?
Thank you in advance!
I was told to run famamacbeth 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 famamacbeth ?
Thank you in advance!

 Posts: 3
 Joined: Sat Aug 29, 2015 11:07 am
Re: FamaMacBeth regression
Hi!
I'm hoping someone can help. I'm trying to use the FamaMacBeth addin 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 FamaMacBeth addin to analyse this relationship?
I'm hoping someone can help. I'm trying to use the FamaMacBeth addin 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 FamaMacBeth addin to analyse this relationship?

 Posts: 3
 Joined: Sat Aug 29, 2015 11:07 am
Re: FamaMacBeth regression
kwasiyeboah42 wrote:Hi!
I'm hoping someone can help. I'm trying to use the FamaMacBeth addin 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 FamaMacBeth addin to analyse this relationship?
The example in the addin 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 FamaMacBeth can do this or if I should be looking at the loop/roll programming stuff?

 EViews Developer
 Posts: 96
 Joined: Thu Apr 18, 2013 8:37 am
Re: FamaMacBeth regression
It's not clear to me what you want to do. The first step of the FamaMacBeth 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.
FamaMacBeth regression
Hi,
i'm trying to run the FamaMacBeth 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 FamaMacBeth 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

 EViews Developer
 Posts: 96
 Joined: Thu Apr 18, 2013 8:37 am
Re: FamaMacBeth regression
Can you post your workfile?
Re: FamaMacBeth regression
EViews Rebecca wrote:Can you post your workfile?
 Attachments

 CYRegression.WF1
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Re: FamaMacBeth regression
Belca wrote:EViews Rebecca wrote:Can you post your workfile?
The dependent value is cash_assets and factors are the ones starting with F*

 EViews Developer
 Posts: 96
 Joined: Thu Apr 18, 2013 8:37 am
Re: FamaMacBeth regression
I noticed that your workfile only has one dependent variable. FamaMacBeth is intended for a portfolio of assets. Using only one asset will lead to problems in the crosssectional regression step. See Equation 2 in the doc.
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