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Ok thx that's clear now. One more question: how do I get the betas from the first step time-series regression?

Do I have to run basic OLS regression for each portfolio separately like PR*=C(1)+C(2)*MKT_RF+C(3)*SMB+C(4)*HML ?

Ok yes thx that's clear now. Two more stupid question: First, when testing the joint null hypothesis in CS average regression one with F-statistics, whats the critical value used in the test? Is it 5 %? Hence, the critical value of the F-distribution is 2.60 with three betas? Second, is the F-statis...

Okey when I regress factors against portfolios pr* I get four gammas for the factors. Are the gammas weighted averages from all portfolios? When I try to regress for example portfolio 1 against factors it says "Near singular matrix.." and it does not show results. What am I doing wrong her...

Hey I have download the fama-macbeth add-in but I still have trouble to do the test for 6 Portfolios Formed on Size and Book-to-Market (2 x 3) from Europe. Data is from Kenenth R. French website. I have uploaded the portfolios pr1, p2.. pr6 + SMB, RF, MKT_RF, MKT and HML to eviews from excel spreads...

Hello, I am a beginner user with EViews and I would appreciate your help with Fama-MacBeth regression for Fama & French four-factor model. 1. First I would like to run the basic time-series regression for portfolio's return on the factors (25 european portfolios formed on size & BE/ME and si...