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Hi, I have a data sheet containing company names and their standard deviation. The sheet has rows containing company names and columns containing standard deviations over time.For each month I need to sort the standard deviations from small to large while still having them linked to each company. Do...

Okey thanks! But I have tried different values for the matrix. My sample contains 30 dependent variables and a time series of 612 observations, I further have 5 independent variables. Since the second regression is cross-sectional it should be 30 rows and 612 columns for the total sample but for all...

Hi, I have modified the fmb code to become rolling and with adjusted r square but I need to get the residuals. I have specified an equation(retvec-yhat) and added it into a matrix in the same way I did with r square but for the residual equation I get the error message " non numeric value added...

Rebecca I have made a rolling version and recursive version of this model and all I'm missing is the r square, if I cant manage this by tomorrow I have to drop the code and start doing it manually to be sure that I'm able to deliver my master thesis on time. Can you please please help me a little mo...

Hi,thanks! Below you will see the subprogram fmb where in the first line I have included "matrix rs" and in the last line I have included the code for r-square subroutine local fmb(scalar n_p, scalar n_f, matrix rm, matrix b, scalar j, matrix g, matrix rs) ' cs fama-macbeth regression ' ex...

Hi,thanks! I have now tried to incorporate r square without luck. Would it be possible for one of eviews developers to modify the code?Incorporating r squared to the second regression would add alot of value for the users.The fama-macbeth procedure is used for asset pricing models and knowing the fi...

Also it would be nice to understand the purpose of design=1 in the below code?

matrix(n_p, n_f + 1) design = 1

Hi, I also need to incorporate r square into the code. I understand the first part of the fmb subprogram, but not the following part of the operation in the program: @transpose(@inverse(@transpose(design) * design) _ * @transpose(design) * retvec) If someone can help me understand this part it would...