Dear all,

I would like to get the loadings of various factors (i.e. their beta coefficients) influencing returns of a fund. My dependent variable is excess_ret_nr (return of a fund), and my explanatory variables are sp_logret size_spread_factor msci_logret bmf csf ptfsbd ptfsfx ptfscom (returns of various indices, bonds etc.).

I have an unbalanced panel data with around 480'000 observations, 6200 units and time periods of length up to 228 months.

I would like to use the asreg command with fmb option, preferably also with newey correction. However, when I use this, the coefficients and other statistics of my independent variables get omitted for some reason (see screenshot). I have tried to use various combinations of the code, but nothing seems to work, even if I use only one explanatory variable, the outcome is always the same (i.e. the constant value and its t-stat). The code I am trying to use is:

I have also tried the xtfmb command, reportedly very similar to asreg, but its computation is very slow and still running for me currently.

Can you please provide me with some advice on how to fix this? Thanks a lot!

KC

I would like to get the loadings of various factors (i.e. their beta coefficients) influencing returns of a fund. My dependent variable is excess_ret_nr (return of a fund), and my explanatory variables are sp_logret size_spread_factor msci_logret bmf csf ptfsbd ptfsfx ptfscom (returns of various indices, bonds etc.).

I have an unbalanced panel data with around 480'000 observations, 6200 units and time periods of length up to 228 months.

I would like to use the asreg command with fmb option, preferably also with newey correction. However, when I use this, the coefficients and other statistics of my independent variables get omitted for some reason (see screenshot). I have tried to use various combinations of the code, but nothing seems to work, even if I use only one explanatory variable, the outcome is always the same (i.e. the constant value and its t-stat). The code I am trying to use is:

Code:

bysort id: asreg excess_ret_nr sp_logret size_spread_factor msci_logret bmf csf ptfsbd ptfsfx ptfscom , fmb

I have also tried the xtfmb command, reportedly very similar to asreg, but its computation is very slow and still running for me currently.

Can you please provide me with some advice on how to fix this? Thanks a lot!

KC

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