You should be able to do this with the statsby command
Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
On Oct 13, 2004, at 2:33 AM, statalist-digest wrote:
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.
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