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Thread: Fama macbeth regression question_omitted coefficient

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    Fama macbeth regression question_omitted coefficient




    Hi guys, I did a Fama Macbeth regression using Stata 11, but I got all coefficients omitted.

    Anyone knows how to solve this problem? Thanks a lot!

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    Re: Fama macbeth regression question_omitted coefficient

    example as below:


    . xtfmb excessreturn mktreturn, lag(2)

    Fama-MacBeth (1973) Two-Step procedure Number of obs = 491899
    Num. time periods = 203
    F( 1, 202) = .
    Prob > F = .
    Newey-West corrected SE (lag length: 2) avg. R-squared = 0.0000
    ------------------------------------------------------------------------------
    | Fama-MacBeth
    excessreturn | Coef. Std. Err. t P>|t| [95% Conf. Interval]
    -------------+----------------------------------------------------------------
    mktreturn | (omitted)
    _cons | -.2294445 .0378288 -6.07 0.000 -.3040344 -.1548546
    ------------------------------------------------------------------------------

    Firstly I install "xtfmb" package.

    Then I "tsset" sedol time to make sure time series data

  3. #3
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    Re: Fama macbeth regression question_omitted coefficient

    What happens when you run -xtdescribe- ?

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    Re: Fama macbeth regression question_omitted coefficient

    I have the same problem..did you find a solution yet?

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    Re: Fama macbeth regression question_omitted coefficient


    I also have this problem - does anyone have a solution?

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