You can have fama-macbeth from Stata, without programming it by yourself:
1) -xtfmb- (from SSC) is an implementation of the Fama and MacBeth (1973) two step procedure. In the first step, for each single time period a cross-sectional regression is performed. Then, in the second step, the final coefficient estimates are obtained as the average of the first step coefficient estimates. -xtfmb- allows you to test for the significance of coefficient combinations as you are used to from ordinary linear regressions. This is because the second step of the Fama-MacBeth procedure is implemented by aid of Zellner's SUR estimation. The "avg. R-squared" which is provided in the header of the -xtfmb- program is computed as the average value of the R-squares from the cross-sectional regressions in the first step of the Fama-MacBeth procedure.
2) -fmivreg- (from http://www.antonisureda.com/other/stuff/files/) estimates Fama-MacBeth regressions with instrumental variables and Newey-West standard errors
Nicola
P.S. I'll NOT receive/read any email but the Digest.
At 02.33 05/08/2009 -0400, qing ye wrote:
>hi, I want to run a fama -macbeth regression every month and store the
>coefficients and number of observations, adjusted R2 in a matrix.
>
>each row of the matrix corrspond to the result from each month.
>
>I typed the following code, but it always gives the invalid syntax
>message. Can you tell me what's wrong with the code?
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