Fama-MacBeth regressions with Newey-West standard errors
10/04/06 22:43
I have written two Stata programs to estimate
Fama-MacBeth regressions with Newey-West standard
errors.
The first works similarly to the Stata regress command and the second similarly to the Stata ivreg command; you can download them from here.
The syntax is simple:
fmregress or fmivreg followed by the model as if you were calling regress or ivreg.
The options are:
NOCONStant: If you don't want a constant in your regressions
LAG(integer): The lags to be used by Newey-West correction. It is 0 by default.
DROPFirst(integer): The number of initial dates that you want to drop (useful if you use lagged variables as regressors). It is 0 by default.
They are provided as they are, that is, without any kind of support. If you use them you agree in doing it at your own risk. However, any feedback or improvements will be very appreciated.
Please, drop me a line if you find them useful or have any comment, suggestion, or improvement.
The first works similarly to the Stata regress command and the second similarly to the Stata ivreg command; you can download them from here.
The syntax is simple:
fmregress or fmivreg followed by the model as if you were calling regress or ivreg.
The options are:
NOCONStant: If you don't want a constant in your regressions
LAG(integer): The lags to be used by Newey-West correction. It is 0 by default.
DROPFirst(integer): The number of initial dates that you want to drop (useful if you use lagged variables as regressors). It is 0 by default.
They are provided as they are, that is, without any kind of support. If you use them you agree in doing it at your own risk. However, any feedback or improvements will be very appreciated.
Please, drop me a line if you find them useful or have any comment, suggestion, or improvement.
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