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Thank you for your quick reply.

One more question: all risk factors that are used as independent variables in the Fama-MacBeth add in should be in the form of returns right? Or can they be other types of variables (such as market illiquidity)?

Kind regards,
MeikeK

Dear Rebecca, What I mean is that I am not sure how to create the risk factors that are used as independent variable. The risk factors as I am using them are namely the comovements of stock returns and illiquidity with the market return and illiquidity. I am not sure how I should construct a risk fa...

Dear all, I am trying to estimate the risk premium for various estimates of stock illiquidity. I have generated 10 illiquidity portfolios and want to obtain the risk prima for both the market return and 3 estimates of illiquidity. I am trying to use the Fama-MacBeth add in to generate the respective...

Dear Glen,

I have managed to import it already. Thanks for the help.

Kind regards,
MeikeK

Dear all, I am trying to import an excel file into EViews, but it is not working. The file contains panel data with monthly frequency from stocks for the period 2003-2010. The problem is that not all stocks are in the sample for all months (as some delist etc.). Could anyone tell me how to correctly...