You may want to check out -statsby- to run the individual regressions and
assemble the results for you.
Michael Blasnik
[email protected]
----- Original Message -----
From: "Alex Edmans" <[email protected]>
To: <[email protected]>
Sent: Tuesday, October 12, 2004 10:02 AM
Subject: st: Fama-MacBeth regressions
> Dear all,
>
> I'm relatively new to Stata; although I can run standard regressions
without
> any problem, I am not sure how to run a Fama-MacBeth regression (where you
> run cross-sections at different points in time, e.g. for 20 different
years
> between 1980 and 2000, and then take the coefficients and treat these as a
> time series). Apparently in SAS you can run this very easily, with a
couple
> of lines of code. Does anyone know how to do this in Stata? I think I can
> work out how to run the 20 regressions, via looping through the years, but
> am not sure how I would save the cross-sectional coefficients to enable me
> to do the second-stage time series regression.
>
> Any help would be really appreciated. Thanks in advance.
>
> Alex Edmans
> Sloan School of Management, MIT
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