Dear Stata-listers,
I have just subscribed to the Stata List. I would like to ask you how to
perform a Fama-Macbeth regression in Stata. I tried the command by year:
regression y x1 x2 x3 x4 but I can not save the mean and the standard
deviation of the coefficients and my sample period includes 35 years. Is
there any other way to perform Fama-Macbeth regression in Stata? It would
be helpfulful if an example code could be provided.
Any help would really be appreciated.
Kind Regards,
Vangelis
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