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  • Fama MacBeth model - factor loadings: asreg with fmb omits coefficients

    Dear all,

    I want to perform Fama and Macbeth (1973) using asreg, but results shows omitted, what is it mean? Can anyone help?


    Code:
    bysort id: asreg ex_firm_re ex_w_re , fmb

    I have also tried the xtfmb command, same results.

    Code:
    * Example generated by -dataex-. To install: ssc install dataex
    clear
    input float(ex_firm_re ex_w_re)
              .           .
     -.05331687    -.029625
      .12089658  -.11540207
    -.011347787   -.0782566
     -.09539892  -.12427063
       -.010417  -.04178488
      .07456492  -.03086616
    -.025899425  -.13644212
    -.068827644  -.11250978
      .04277919  .031394314
      .10736607  -.05124994
      .11070205  -.06741464
      .05332659  -.04853665
      .02048683  -.08365837
     .034379955  -.11974768
       -.007917 -.002820788
     -.03701003   .03760269
     .021176027 -.012211945
      .02118748  -.04878318
     .033574283  -.02821072
    end

    Results:


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

    Fama-MacBeth (1973) Two-Step procedure Number of obs = 23833
    Num. time periods = 202
    F( 1, 201) = .
    Prob > F = .
    avg. R-squared = 0.0000
    ------------------------------------------------------------------------------
    | Fama-MacBeth
    ex_firm_re | Coef. Std. Err. t P>|t| [95% Conf. Interval]
    -------------+----------------------------------------------------------------
    ex_w_re | 0 (omitted)
    _cons | .002489 .003327 0.75 0.455 -.0040714 .0090494
    ------------------------------------------------------------------------------




  • #2
    I replied to this query on my website, see the comments section.

    https://fintechprofessor.com/stata-p...sion-in-stata/
    Regards
    --------------------------------------------------
    Attaullah Shah, PhD.
    Professor of Finance, Institute of Management Sciences Peshawar, Pakistan
    FinTechProfessor.com
    https://asdocx.com
    Check out my asdoc program, which sends outputs to MS Word.
    For more flexibility, consider using asdocx which can send Stata outputs to MS Word, Excel, LaTeX, or HTML.

    Comment


    • #3
      Dear Attaullah Shah,
      The link above is giving an error unfortunately. (Error 404, Page not found)
      Where can I find your comments on this issue?
      Or is there anyone who can solve the omitted variable issue of asreg?

      Best Regards,

      Comment


      • #4
        The link has changed to https://fintechprofessor.com/2017/12...sion-in-stata/
        Last edited by Attaullah Shah; 11 Oct 2020, 21:00.
        Regards
        --------------------------------------------------
        Attaullah Shah, PhD.
        Professor of Finance, Institute of Management Sciences Peshawar, Pakistan
        FinTechProfessor.com
        https://asdocx.com
        Check out my asdoc program, which sends outputs to MS Word.
        For more flexibility, consider using asdocx which can send Stata outputs to MS Word, Excel, LaTeX, or HTML.

        Comment


        • #5
          Many thanks for your prompt reply!

          Comment

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