Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: xtfmb: Fama MacBeth regression - High average R2, but no significant coefficients
From
Robson Glasscock <[email protected]>
To
[email protected]
Subject
Re: st: xtfmb: Fama MacBeth regression - High average R2, but no significant coefficients
Date
Thu, 28 Apr 2011 13:02:44 -0400
Hi Alex,
Have you looked at the correlation between your regressors? It sounds
to me like a classic case of multicollinearity (aka micronumerosity
=>).
On Wed, Apr 27, 2011 at 5:39 PM, Alexander v. Angerer <[email protected]> wrote:
> Hello,
>
> I was conducting a Fama MacBeth regression using xtfmb to test wether three betas on factor portfolios are able to explain the cross sectional variation in portfolio returns.
>
> None of the three (average time series) beta coefficients was significant while the average R squared of all cross sections was above 70%. What could be the problem here?
>
> Best regards,
>
> Alex
>
>
> ___________________________________________________________
> WEB.DE DSL Doppel-Flat ab 19,99 €/mtl.! Jetzt mit
> gratis Handy-Flat! http://produkte.web.de/go/DSL_Doppel_Flatrate/2
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/