This sounds like a multilevel model to me. I don't know the method at
all as proposed by Fama and MacBeth (can you provide a reference? I
know Fama is famous in finance, but I am not sure he is equally famous
in statistics...), but it seems to me that plugging the regression
coefficient estimates as the real time series observations will at
least give wrong standard errors. (Don't tell me you are going to use
the bootstrap to correct them. Just don't get me started...) I would
advocate constructing an appropriate two-level model and estimate it
with -gllamm-; that would be the closest analog of SAS' PROC MIXED, if
that's what you had in mind there. See http://www.gllamm.org, GLVM
book from Stata, and examples at
http://www.ats.ucla.edu/stat/stata/examples/mlm_ma_hox/.
Before saying that Fama-MacBeth is the de-facto method, remember that
you may become a founder of a new methodology, so that people in
business would refer to it as Edmans model :))
Stas
On Tue, 12 Oct 2004 10:02:42 -0400, Alex Edmans <[email protected]> wrote:
> 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
--
Stas Kolenikov
http://stas.kolenikov.name
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