1973) two step procedure. Is there any limitation on whether the factors used need to be global factors or not, i.e. However, while I found the Stata command for the MacBeth approach (xtfmb-programmed by Daniel Hoechle), I couldn't identify a command that automatically corrects the MacBeth errors with Newey. Wed, 06 Oct 2010 22:40:14 +0200 Then, in the second step, the final coefficient estimates are obtained as the average of the first step coefficient estimates. The procedure is as follows: In the first step, for each single time period a cross-sectional regression is performed. 1973) two step procedure. Date You can browse but not post. * http://www.ats.ucla.edu/stat/stata/, http://www.stata.com/support/statalist/faq, Re: st: Fama-MacBeth standard errors with Newey-West corrections, Re: st: Chi-squared test after multiple imputation with ice, st: last estimation results not found, nothing to store -- Error message. I wasn't able to figure out a neat Stata solution, but a dummy variable interaction and adjusting the table output does the trick. I am already looking forward to all your answers and I appreciate any help. Then, in the second step, the final coefficient estimates are obtained as the average of the first step coefficient estimates. Is the same package used by ivreg2, and allows the bw, kernel, dkraay and kiefer suboptions. I have a dataset of 1061 funds, with monthly returns over an observation period of one year. Search in General only Advanced Search Search. Repeat (1) and (2) going ahead in time to get a time-series of coefficient estimates from (2). Then, in the second step, the final coefficient estimates are obtained as the average of the first step coefficient estimates. > > however I would like now to … From That implies that in your example, you will have 300 regressions, each one having 9 observations, i.e. Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org. [email protected] You can browse but not post. Dominik XTFMB: Stata module to execute Fama-MacBeth two-step panel regression. default uses the default Stata computation (allows unadjusted, robust, and at most one cluster variable). [Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index] avar uses the avar package from SSC. So what I don’t understand is what happened to the actual first step of FMB (assuming I understood the procedure correctly)…. GRATIS! Home; Forums; Forums for Discussing Stata; General; You are not logged in. 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Fama-MacBeth regression are cross sectional, as mentioned above and are predictive in nature. * http://www.stata.com/help.cgi?search The procedure is as follows: In the first step, for each single time period a cross-sectional regression is performed. st: Fama-MacBeth standard errors with Newey-West corrections avar uses the avar package from SSC. Movie-FLAT mit über 300 Videos. abstract xtfmb is an implementation of the Fama and MacBeth (J. Polit. Newey West for Panel Data Sets. I am looking for a Stata command that creates Fama MacBeth standard errors which are corrected for autocorrelation. * http://www.stata.com/support/statalist/faq As it stands, the user-written program xtfmb performs only (2) and (3) but not (1). Econ. You have asked too many questions in one post. Is anybody aware of such a command? thanks much mr. bukharin for your continuous assistance. I would be very thankful for your help. On the other hand do you know how to simply ask STATA to run a cross sectional regression on a particular date ? XTFMB: Stata module to execute Fama-MacBeth two-step panel regression. default uses the default Stata computation (allows unadjusted, robust, and at most one cluster variable). Login or, Perform one cross-sectional regression, where the N coefficient estimates from (1) are your. "Dominik Hennen" Subject To Is anybody aware of such a command? Daniel Hoechle () Additional contact information Daniel Hoechle: University of Basel Statistical Software Components from Boston College Department of Economics. 1973) two step procedure. nine cross sectional units. Then, in the second step, the final coefficient estimates are obtained as the average of the first step coefficient estimates. Use this time-series to obtain the "average coefficient" and its standard error. If not, is there an easy work around for that issue? The Fama and Mcbeth (1973) regression are cross-sectional regression, not time series. xtfmb is an implementation of the Fama and MacBeth (J. Polit. The procedure is as follows: In the first step, for each single time period a cross-sectional regression is performed. With best regards from Germany Dominik -- GRATIS! Econ. * 1973) two step procedure. The procedure is as follows: In the first step, for each single time period a cross-sectional regression is performed. mwc allows multi-way-clustering (any number of cluster variables), but without the bw and kernel suboptions. You are currently offline. mwc allows multi-way-clustering (any number of cluster variables), but without the bw and kernel suboptions. What is the difference between Fama-MacBeth and Fama-French regressions? If you need more specific help, you can visit our group page at, You are not logged in. If you insist using xtfmb you could run (1) first using the rolling command (see help rolling) and merge the resulting dataset with your left-hand side variable to run xtfmb thereafter. The second step is then 300 regressions with 9 observations. 1973) two step procedure. > > Does the following help? Some features of the site may not work correctly. whether they can or must vary across the 9 cross-sectional units? To install this ado file from with in Stata type net search xtfmb. According to the literature the standard errors should be corrected via Newey-West. I am using xtfmb (install ssc xtfmb) I have tried to combine it with "rolling" but the output. I would be very thankful for your help. Econ. This has got me very confused. 1973) two step procedure. Fama and French regressions, specifically in 1993 paper, are time-series, i.e., they develop portfolios and risk factors, then the time-series returns of each portfolio are regressed on the time series of risk factors. Abstract: xtfmb is an implementation of the Fama and MacBeth (J. Polit. The first stage 300 regressions are not useful, they are used just to obtain the average coefficients of the factors used in regressions. Dear fellow research colleagues, abstract xtfmb is an implementation of the Fama and MacBeth (J. Polit. The Fama-MacBeth procedure has been critized for several reasons. Login or Register. Econ. Since the regressions are cross-sectional, the factor must vary across cross sectional units. Econ. However, while I found the Stata command for the MacBeth approach (xtfmb-programmed by Daniel Hoechle), I couldn't identify a command that automatically corrects the MacBeth errors with Newey. You could also > -reshape long- then use -xtfmb- from SSC. A full description is in the help file. I mean, if i want to run a cross sectionnal regression for the month number 12 for example using my entire data set, is it possible ? With best regards from Germany Best, Biljana Von: Maarten Buis An: [email protected], Datum: 17.07.2012 10:26 Betreff: Re: Fw: st: xtfmb: Fama MacBeth regression Gesendet von: [email protected] On Tue, Jul 17, 2012 at 9:10 AM, wrote: > I would like to do Fama MacBeth regression and i used xtfmb function. -- Thank you very much for your reply and apologies for all the questions in that one post (rookie error). Daniel Hoechle () Additional contact information Daniel Hoechle: University of Basel Statistical Software Components from Boston College Department of Economics. * For searches and help try: Then, in the second step, the final coefficient estimates are obtained as the average of the first step coefficient estimates. Abstract xtfmb is an implementation of the Fama and MacBeth (J. Polit. Jetzt freischalten unter http://portal.gmx.net/de/go/maxdome If not, is there an easy work around for that issue? The coefficients on D and D*X are the differences between the two models. Another version (xtfmb.ado) has been written by Daniel Hoechle. Dear Stata community, I am new to this forum and I have a question that I hope you might be able to help me with. i have data for 112 companies for 3 years, so i have 336 observations with non missing data. xtfmb is an implementation of the Fama and MacBeth (J. Polit. Is the same package used by ivreg2, and allows the bw, kernel, dkraay and kiefer suboptions. Abstract: xtfmb is an implementation of the Fama and MacBeth (J. Polit. Regress y on 1, X, D, and D*X, where D is an indicator variable and X doesn't contain a vector of 1s. An excerpt of my data is shown below. Econ. Log in with; Forums; FAQ; Search in titles only. So if I have a panel with 9 cross-sectional units and 300 time periods, then I first have 9 regressions with 300 observations each. you saved me a great deal of effort. Econ. The Stata command newey will estimate the coefficients of a regression using OLS and generate Newey-West standard errors. The procedure is as follows: In the first step, for each single time period a cross-sectional regression is performed. Regression is performed the final coefficient estimates are obtained as the average of the first step coefficient estimates and suboptions. 336 observations with non missing data April 23, 2014, Statalist moved from an email list a! Above and are predictive in nature your questions average coefficient '' and its standard error should. Mcbeth ( 1973 ) regression are cross-sectional regression is performed regression is performed xtfmb ( install ssc )! This time-series to obtain the average coefficients of a regression using OLS and generate Newey-West errors... Features of the Fama and MacBeth ( J. Polit the default Stata computation ( unadjusted. Its standard error -xtfmb- from ssc is then 300 regressions, each one having 9 observations Components!, with monthly returns over an observation period of one year cross-sectional units, i.e have 336 observations non! 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