Getting unexpected error while running Fama-Macbeth regression

[Thomas Jansen]

Hi people from Statalist,

I am getting unexpected error messages after trying to run a Fama-Macbeth two-step regression

My initial data looks like the following:

* Example generated by -dataex-. To install: ssc install dataex
clear
input int fyear double(BH1 SH1 BH2 BH4) float ENT_Factor double Rf
1966   -.0931677594780922  -.22325588762760162                    0  -.17158393561840057 -.009890694                 .05
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1969  -.20049288868904114   -.2568358778953552  -.15935015678405762   -.2505379617214203  -.09002729               .0832
1970  .053339794278144836 -.020984245464205742   .09377075731754303    .1467593014240265  -.02894144 .049400000000000006
1971   .17877981066703796    .0914343073964119    .2408723086118698    .3553159236907959  -.08042617               .0446
1972   .09672121703624725   -.0740591436624527   .12717123329639435   .30931907892227173  -.17474627 .056799999999999996
1973   .04438353702425957  -.23002906143665314   -.0322846919298172   -.2686358094215393  -.09999046                .073
1974    -.205159530043602  -.17706629633903503  -.21290186047554016  -.28413623571395874   .03173215               .0735
1975    .3234483301639557    .3049960136413574   .29543182253837585     .458263099193573   .12285192               .0616
1976    .1988406628370285    .1928432136774063    .1248864233493805   .17149516940116882   .04048293 .048600000000000004
1977  -.11372006684541702   .08067355304956436   -.1128876805305481   -.1684066206216812   .22300674               .0698
1978   .04086245596408844    .0477270632982254    .0384380966424942   .04805698245763779  .026573204               .1057
1979   .06726029515266419   .06941448152065277   .09794113785028458   .05182604119181633    .0696834  .11699999999999999
1980   .15167495608329773   .09065254032611847   .19350561499595642   .21233008801937103    -.053161               .1386
1981  -.13656291365623474   .06408078968524933  -.03801873326301575   -.2046550065279007   .07942122               .1335
1982 -.045518483966588974 -.016930749639868736   .02803255245089531   .22480489313602448   .01780938               .0868
1983    .2057950496673584   .17656035721302032   .17736491560935974   .12527137994766235   .04141217               .1008
1984  -.09119043499231339   -.1490718275308609  -.03271746262907982  -.03367561846971512 -.016410518               .0922
1985   .22003142535686493   .06953927874565125   .22126232087612152   .27967599034309387  -.12046785                .076
1986   .13706491887569427   .06548002362251282   .06259170919656754   .09255068749189377   .02503202 .059500000000000004
1987 -.002735091606155038  -.02348390594124794  .009247072972357273  -.07404982298612595  -.02140268                .071
1988 -.004782224074006081     .105547234416008   .05380646511912346   .04351597651839256   .08488517               .0902
1989   .12887944281101227  .008753606118261814   .07307246327400208   .28277266025543213  -.05303585               .0776
1990  -.13178525865077972  -.09342804551124573  -.11961032450199127  -.13600079715251923   .06830745               .0682
1991   .05553749203681946   .11657202988862991   .13540604710578918    .2445092797279358   .11135559               .0412
1992 -.041848137974739075   .04496622085571289  -.01872728019952774  -.07017866522073746   .12293859               .0361
1993   .18095359206199646    .1589204967021942   .13676345348358154   .08980792760848999   .13639818               .0363
1994  -.00756983645260334 -.012461794540286064  -.01410653255879879  -.09944070130586624  .019016653  .07200000000000001
1995    .1364327073097229   .04993479326367378   .16317661106586456   .26851198077201843  -.03791674               .0518
1996   .07671297341585159   .08399267494678497   .10819978266954422   .10068926215171814   .07602091 .055099999999999996
1997   .11235480010509491   .19239002466201782   .14804206788539886   .28711915016174316   .08805727 .055099999999999996
1998  -.21100890636444092  -.22832456231117249  -.13766969740390778 -.016598155722022057  .004727644               .0453
1999 -.025414342060685158  -.11044283956289291 -.012465708889067173 .0055834222584962845  -.03800985 .059800000000000006
2000  -.06321937590837479  .014771484769880772 -.014780322089791298    -.223695307970047     .155873 .060899999999999996
2001   .05215299129486084   .18261636793613434   .08493885397911072  -.06771183758974075   .21364613               .0217
2002  -.13117147982120514  .029295628890395164  -.06217939034104347   -.1526198536157608   .16244952               .0132
2003    .3051352798938751    .2713721990585327    .2756713330745697   .39864784479141235  .014644504               .0126
2004    .1304800659418106   .10089210420846939   .17386822402477264    .1597801148891449   .04929395               .0275
2005   .02779119648039341 -.015930652618408203    .0425284244120121   .11163264513015747   .02286742               .0279
2006   .10765527188777924   .06959732621908188   .11718408018350601    .1765100061893463 -.014506575               .0438
2007   .03548966348171234  -.15685304999351501   .04816693067550659   .06009546294808388  -.05754094               .0334
2008   -.3497254252433777  -.24159081280231476   -.3368995189666748   -.4298965632915497   .12097402               .0037
2009    .3101717233657837   .01874624378979206   .33388304710388184     .512330174446106  -.19778638 .004699999999999999
2010    .1299227923154831   .13636653125286102   .18224291503429413    .2594715356826782  .017381892               .0029
2011  -.07393523305654526 -.008770035579800606  -.04247064143419266   -.0379888117313385   .08021694               .0029
2012   .07265020906925201   .11839137226343155   .12167210131883621   .19287985563278198   .04595768               .0016
2013   .15165553987026215   .24131080508232117     .202187180519104   .27715104818344116   .10034878               .0013
2014 -.017233319580554962  .006779185030609369  .023328838869929314  .015851562842726707   .04437155               .0025
2015  -.09098861366510391 -.014002025127410889 -.058479614555835724  -.06565603613853455    .0829958 .006500000000000001
1966   -.0931677594780922  -.22325588762760162                    0  -.17158393561840057 -.009890694                 .05
1966   -.0931677594780922  -.22325588762760162                    0  -.17158393561840057 -.009890694                 .05
1966   -.0931677594780922  -.22325588762760162                    0  -.17158393561840057 -.009890694                 .05
1966   -.0931677594780922  -.22325588762760162                    0  -.17158393561840057 -.009890694                 .05
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1967   .11946436017751694    .3939952850341797  .034682102501392365   .18941856920719147     .210428               .0576
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
1968  .006173937581479549   .14093846082687378   .03458116948604584 -.004401206038892269   .09205266               .0646
end

My code looks like the following:

 


quietly {

foreach var of varlist BH1 BL1 SH1 SL1 BH2 BL2 SH2 SL2 BH3 BL3 SH3 SL3 BH4 BL4 SH4 SL4 BH5 BL5 SH5 SL5 BH6 BL6 SH6 SL6 BH7 BL7 SH7 SL7 {

replace `var'=`var'-Rf

  }

}

** Number of observations defining **

local obs=14802

tempname betas

postfile `betas' beta_c beta_HML_Factor using "D:\betas.dta", replace

quietly {

foreach y of varlist BH1 BL1 SH1 SL1 BH2 BL2 SH2 SL2 BH3 BL3 SH3 SL3 BH4 BL4 SH4 SL4 BH5 BL5 SH5 SL5 BH6 BL6 SH6 SL6 BH7 BL7 SH7 SL7 {
regress `y' HML_Factor if fyear>=1962 & fyear<=2017
scalar beta_c=_b[_cons]
scalar beta_HML_Factor=_b[HML_Factor]
post `betas' (beta_c) (beta_HML_Factor)
 }
}

postclose `betas'

drop HML_Factor

xpose, clear varname

drop in 1

merge 1:1 _n using "D:\betas.dta"

tempname lambdas

local obs=14802

postfile `lambdas' lambda_c lambda_HML_Factor lambda_r2 using "D:\lambdas.dta", replace

quietly {

forvalues i=1(1)`obs' {

regress v`i' beta_HML_Factor
scalar lambda_c=_b[_cons]
scalar lambda_HML_Factor=_b[beta_HML_Factor]
scalar lambda_r2=e(r2)

post `lambdas' (lambda_c) (lambda_HML_Factor)(lambda_r2)
  }
 }
 
postclose `lambdas'

 
 snapshot restore 1
 use "D:\lambdas.dta", clear
 local obs=14802

 quietly {
 
 foreach var of varlist (lambda_c) (lambda_HML_Factor) { 
 summarize `var'
 scalar `var'_mean=r(mean)
 
 scalar `var'_tratio=sqrt(`obs')*r(mean)/r(sd)
 }
 summarize lambda_r2
 scalar lambda_r2_mean=r(mean)
 }
 
display lambda_c_mean
display lambda_c_tratio
display lambda_HML_Factor_mean
display lambda_HML_Factor_tratio
display lambda lambda_r2_mean

And I get the following errors:




In addition I do not get any summarized tables or displays...






I would be very glad if someone could help me, I am stuck in this for like two weeks or so.

[Nick Cox]

You're using the same names for variables and scalars. That's unlikely to help.

I'd try rewriting

quietly {  
    forvalues i=1(1)`obs' {  
        regress v`i' beta_HML_Factor
        scalar lambda_c=_b[_cons]
        scalar lambda_HML_Factor=_b[beta_HML_Factor]
        scalar lambda_r2=e(r2)  
        post `lambdas' (lambda_c) (lambda_HML_Factor)(lambda_r2)  
    }
}

as

quietly {  
    forvalues i=1(1)`obs' {  
        regress v`i' beta_HML_Factor
        post `lambdas' (_b[_cons]) (_b[beta_HML_Factor)(e(r2)) 
    }
}

Putting stuff into scalars only to take them out again immediately isn't needed in any case.

[Thomas Jansen]

You're using the same names for variables and scalars. That's unlikely to help.

I'd try rewriting

quietly {
forvalues i=1(1)`obs' {
regress v`i' beta_HML_Factor
scalar lambda_c=_b[_cons]
scalar lambda_HML_Factor=_b[beta_HML_Factor]
scalar lambda_r2=e(r2)
post `lambdas' (lambda_c) (lambda_HML_Factor)(lambda_r2)
}
}

as

quietly {
forvalues i=1(1)`obs' {
regress v`i' beta_HML_Factor
post `lambdas' (_b[_cons]) (_b[beta_HML_Factor)(e(r2))
}
}

Putting stuff into scalars only to take them out again immediately isn't needed in any case.

Thank you for your quick response. Do you also know what to change to overcome the other errors and to get the summarize and display values/tables?

[Nick Cox]

My attitude is to fix the first bug. But what I see in red in #1 includes

postclose lambdas:: you used a temporary name as your handle, not lambdas.

isplay not found: looks like a typo for display

lambda ambiguous abbreviation: that sounds correct; several of your variables and scalars have names starting that way.

[Thomas Jansen]

My attitude is to fix the first bug. But what I see in red in #1 includes

postclose lambdas:: you used a temporary name as your handle, not lambdas.

isplay not found: looks like a typo for display

lambda ambiguous abbreviation: that sounds correct; several of your variables and scalars have names starting that way.

Alright. I will implement your given solution for the first bug then... brb

[Thomas Jansen]

You're using the same names for variables and scalars. That's unlikely to help.

I'd try rewriting

quietly {
forvalues i=1(1)`obs' {
regress v`i' beta_HML_Factor
scalar lambda_c=_b[_cons]
scalar lambda_HML_Factor=_b[beta_HML_Factor]
scalar lambda_r2=e(r2)
post `lambdas' (lambda_c) (lambda_HML_Factor)(lambda_r2)
}
}

as

quietly {
forvalues i=1(1)`obs' {
regress v`i' beta_HML_Factor
post `lambdas' (_b[_cons]) (_b[beta_HML_Factor)(e(r2))
}
}

Putting stuff into scalars only to take them out again immediately isn't needed in any case.

I get the same error. And by the way, the tempname was indeed lambdas... So I do not know why I get the error at the part of postclose... I used the same method as the method of the beginning part regarding the tempname betas and postclose betas...

[William Lisowski]

Stata's error message, and a careful look at the post command, tells you that you forgot the right bracket following _b[beta_HML_Factor in the second term of your postfile (the term you called lambda_HML_factor).

Fix that and see if it solves the postclose problem as well.