EViews.com

thanks works now! Two more small questions. In the output file will coefficient 11 be refer to coefficient of series SR11(normal counting) or SR100 (eviews counting)? Secondly, I tried to extend the code to running with both changing y and changing x resulting in the below. I think it errors on the ...

Hi Gareth, I tried to do the above, changing the code to my requirements. However, I doesn't seem to work. I have 2563 stocks, and the dependent variables are rf mktrf hml smb (without a fixed coefficient). I have opened all stocks (sr01,sr02,sr03....) as group sr. matrix(2,2563) coefs for !i=1 to 2...

Hi, I searched the forum but couldn't find any answer concerning how to run a Fama Macbeth, adding an additional factor in the second step in eviews. Any help on this would be great. I have about 2000 stocks with monthly data from 1992 till 2012, so running regressions manually is too extensive. Fir...