Time-varying Beta Fama-MacBeth regressions

[jjbester85]

Good day,

Please assist.

I am attempting to run fama-macbeth regressions with time varying betas. I installed the fmb add-in but upon reading the documentation, I realised that risk premia is estimated using constant OLS beta estimates. Hence the need for manual fama-macbeth estimation.

Subsequently, I regressed monthly returns (returns_m) for 16 time series on 5 factors for t-1 to t-60, to set-up time-varying OLS betas (beta1-5) for 144 periods.I then converted the data into a dated panel format, please see FMB data.WF1 attached.

I need to estimate the following equation for all cross sections to determine coefficients (gamma):

returns_m c beta1 beta2 beta3 beta4 beta5

The means of gammas are then the fama-macbeth coefficients. Please could someone explain how to compile these fama-macbeth coefficients, theirs tstats and pvalues as well as the R-squared of the regression.

Thank you,

Johan