Fama-MacBeth regression for four-factor model

[hemiso]

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 size & momentum) which I can get from French website. By doing this I naturally want to see how these portfolio returns are affected by each factor (factor loadings/betas).

2. Second, I want to calculate the premium rewarded for each factor by doing a cross-sectional regression.

Is anyone familiar with this method with EViews? I couldn't find any tutorial video from internet.

Thanks a lot!

[EViews Gareth]

http://forums.eviews.com/viewtopic.php?f=23&t=7854