st: Fama-MacBeth regression

[Kit Baum <baum@bc.edu>]

Vangelis wrote

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.


help statsby

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

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