In the context of my thesis in asset pricing, I have to estimate whether my factor loadings can predict cross-sectional excess returns. The coefficients obtained via Fama-MacBeth regressions are also important for me because they give an idea of the premium of each risk factor. Could someone explain to me how I could modify my data so that it is usable for the type of regressions I want to perform? And how I should proceed ? This will probably be done with the command asreg, fmb but I am not sure of the features of it.
My data are attached:
I know that I probably need to put them back in panel data format and this is also part of my problem because I don't know how to proceed. Every variable starting with B or S (except SML) are the 12 portfolios I use as dependent variables. Mkt_Rf, SMB, HML and DEF_Factor are the factors in my model that I use as independent variables.
My data are attached:
Code:
* Example generated by -dataex-. For more info, type help dataex clear input float(months date BHh BHl BHm BLh BLl BLm SHh SHl SHm SLh SLl SLm Mkt_Rf SMB HML DEF_Factor) 507 15460 -.06308237 .020132286 -.0884329 -.1184433 -.03412001 -.0828582 -.09492547 .018215122 -.05384039 -.03062054 -.03703001 -.05116905 -.08428764 -.00559345 .032425575 -.07813185 508 15491 -.14808667 -.07259968 -.1106821 -.27025634 -.09846856 -.12549312 -.16995627 -.06209308 -.1266427 -.2154937 -.04425187 -.16134925 -.06315205 -.002620801 .021128025 -.10484485 509 15519 -.06261309 -.06242198 -.15799314 -.21480024 -.1143972 -.2108242 -.06384285 -.07492935 -.07474729 -.1798431 -.10416538 -.11460046 -.1107862 .03947517 .06767985 -.027223393 510 15552 -.04185171 -.020539403 -.021134976 -.1061659 -.06036251 -.06375475 -.06284934 .02082293 -.06559436 -.07756396 -.01514564 -.12154429 -.11274572 -.01278664 .032860387 -.02036115 511 15582 -.284524 -.13522059 -.18730573 -.4247525 -.19349226 -.2272609 -.18025766 -.0953157 -.19670726 -.28519288 -.12585828 -.2406542 -.05597799 .04694638 .03792885 -.12382965 512 15613 .13307826 -.008893575 .04647778 .260126 .09743346 .0242671 .32251894 .01296526 .0031025305 .04141662 .0828689 .18028332 -.1727052 .010560396 .04608471 .13370809 513 15644 .04304584 -.0526756 -.064032815 .007344689 -.00784542 -.01998902 -.0012710652 .017550386 .017351441 -.200804 -.04413815 .15358874 .05939813 -.007467624 .04858214 -.0124145 514 15673 -.1575013 .000733258 -.1101889 -.13551392 -.08955842 -.18057175 -.094568 -.04037395 -.0822432 -.12420517 -.0692521 -.128752 -.017626012 .033545546 .005299048 -.05594885 515 15704 -.09018745 -.04458411 -.04368405 -.006740072 -.022694156 -.072176725 -.030174743 -.035005312 -.06293606 -.072344825 -.05704848 -.04565262 -.079896 .006123032 .028153917 -.02220239 516 15736 -.10553467 -.011164503 -.07648866 -.1324357 -.067759894 -.06460591 -.0908478 -.035295255 -.04533537 -.07675421 -.019248854 -.05787016 -.05715353 .02923282 -.004789281 -.04751662 517 15764 -.05898568 -.05611139 -.017940866 -.12768039 .0004554915 .00678087 -.04627842 .05933344 -.015303615 -.002603471 -.012165518 -.10710526 -.064474404 .005359494 .007752534 -.03234449 518 15795 .19169 .10080563 .10955758 .23759833 .12065089 .08189514 .14439248 .09807388 .2041279 .16484226 .04946594 .19273894 -.030088356 .04513578 .10802918 .09280714 519 15825 -.026247256 .02761525 .04167433 -.001939707 .0038582715 .034245998 .04469951 .09605999 -.024199346 -.02428979 .03310702 .05453425 .11105676 .0012254386 -.0015531117 -.02212448 520 15855 .17888403 .0492203 .06973355 .08132066 .01059686 .04508882 .14458556 .04297268 .05236499 .05428386 .04319268 .12952381 .02003518 .02176811 .07190128 .06652844 521 15886 .13537191 .033555243 .0912972 .10236192 .04219957 .04022808 .021682767 .03458731 .030336613 .022342773 -.024634235 .04723833 .06124733 -.05688607 .06541783 .04658692 522 15917 .0759192 .030651815 .016997904 .067860045 .022526823 .014354382 .02918039 -.017502554 .03948096 .09825267 .015124202 .11902415 .03758 .03195419 -.04240664 .026337083 523 15946 -.0849714 -.013344085 -.03521712 -.0780434 -.03077507 -.04288974 .13696127 .018665584 .068277486 .03013311 .02135 -.04987988 .03140718 .08937973 .03757022 .05101219 524 15978 .10947536 .05305543 .08227125 .0399559 .0662006 .04545187 .02340335 .06100947 .06557961 .11172016 .024983367 .09106623 .0063791 -.01119391 .0013255086 .028412223 525 16009 .005756761 .016241942 .01491788 -.0856639 -.01580649 .02560175 -.04720164 -.014998158 .04243352 .017400268 -.010204393 .02766948 .05382015 .0028854716 .03150862 -.03586658 526 16037 .03937453 -.015704451 .001716505 -.034246746 -.016592767 -.02941052 -.02874926 .007226138 -.04951923 -.04344221 .00017792462 -.05837573 -.005663334 -.02920251 .03026931 -.01460259 527 16069 .034308452 .05142882 .04691238 .09021956 .072423026 .06069831 .08842237 .0881239 .04968941 .04095829 .1767033 .11914 -.01861251 .05008246 -.04154257 -.014751717 528 16100 -.00907593 .004675042 .004417051 .0015182538 .02645699 .015102926 .07126294 -.00489649 .034134436 .14246863 -.02580186 .04952135 .06583443 .032537013 -.02620695 .06219909 529 16128 -.07295693 -.0493213 -.04384178 -.06075273 -.04923359 -.05783639 -.08208693 -.013129297 -.044377 -.06251993 -.030761067 -.017743094 .0300992 .006737852 -.0027492754 -.02853841 530 16161 .01351423 .010121056 .021689447 -.035209768 -.008337966 .02284369 -.0009885305 -.0544931 -.021668013 .011024916 .013444287 .015434203 -.04685856 -.02410216 -.02306277 .0043470617 531 16191 -.035876583 -.03763199 -.04459096 -.13081075 -.02108865 -.04559663 -.03804635 -.0574053 -.017067749 -.0842183 -.001189215 -.018028328 -.010751948 -.015283594 .00983881 -.04431989 532 16222 -.003712747 .012889938 .011800496 .02551669 .020594405 .03065202 -.023263885 .005313415 .02596005 .03074146 .007084517 .010512333 -.04001783 -.00411777 -.04069891 -.00952798 533 16252 -.09393208 -.031575758 -.0522953 -.08541214 -.05721257 -.0595807 -.07395546 -.0876763 -.05769984 -.09481247 -.0742768 -.0898182 .010982634 -.02293691 .013542537 -.027583033 534 16282 -.0756795 -.023942003 -.04460502 -.05229224 -.05932926 -.012898062 -.05861269 -.0825019 -.0779114 -.04293222 -.03647173 -.03726114 -.06154863 -.013245992 -.012348656 -.014349127 535 16314 .006487298 .003641246 .01995041 .05467681 .0014949904 -.007883178 .004559967 -.005403223 .014051083 -.05317253 .0015379393 .05860633 -.05285791 -.01730829 -.017457027 -.009133895 536 16344 -.0396095 .007519322 -.030545674 -.03881177 -.005506587 .005146867 .03880372 .0025876854 .016268594 .00028171582 -.021929236 .0084949415 .0009366014 .0229825 .0152314 .013125077 537 16373 .012606286 .02461677 .014863805 -.03871415 .01539558 .034412492 .018096866 .033696238 .02604808 .03294233 .029071936 .00289541 -.00572648 .015086883 -.006809834 -.00042573735 538 16405 -.015180142 .005465042 .007537408 -.0504802 .002625477 -.000909555 -.009372047 -.016408956 .013190676 -.05998809 -.01732621 .008090087 .017353091 -.01256718 .01433541 -.03125085 539 16435 .01997913 .03796825 .0045330403 .09965198 .03107777 .0238278 .05745718 .06507087 .04097478 .07947738 .017979939 .031990077 -.009032831 .04595089 -.0015997365 .03829811 540 16467 .018319424 .02476945 .02902257 -.08003034 .026052333 .03605768 .05323522 .019795556 .03740147 .06444402 .05833508 .022914734 .04682421 .027753 .0013358295 .005814698 541 16495 -.04678056 -.04082998 -.03760489 -.07135399 -.028250156 -.033187 -.02239817 -.0027281765 .029446384 .0038071524 -.03503767 -.003510085 .04063978 .02942026 .0013345033 -.009622725 542 16502 -.07125731 -.0470415 -.05740497 -.11546712 -.08757522 -.030045874 -.01319817 -.05214022 -.025108585 -.01915915 -.0390231 .015659558 -.022571374 .05514032 .01725765 .008554108 543 16555 .02849448 .03941184 .04380715 .04285468 .034669276 .01281738 .015778761 .013278387 -.013707278 -.014238996 .0301715 .03514238 -.03292923 -.031538103 -.0009707287 -.009910408 544 16587 .07894694 .014257836 .04187429 .035972677 .024002267 .04164095 -.0013706324 .01934147 .009173046 .04000022 .015579253 .10507453 .019551536 -.009741897 -.02745235 .007379487 545 16617 .05009555 .035355087 .03935952 .007055555 .025677856 .026421484 .0896919 -.019337226 .0296331 .03436786 .04356194 .023980014 .029492196 .01206719 .02607648 .04430439 546 16646 .016703669 -.02524238 -.021242246 -.023364874 -.02394608 .0031983654 .01159436 -.022678915 .009942963 .04459659 .07787663 -.00889571 .035252895 .03930383 -.0390354 .016500082 547 16679 -.017840093 .02846708 .017098185 .05074621 .013311417 .026410814 -.01081119 -.010587438 .04399374 -.0044213603 .03217627 .05564194 .000809726 -.014517237 -.03162085 -.015531324 548 16709 -.05951188 -.05619289 -.05335035 -.09993273 -.06163314 -.06250053 -.036445443 -.04135207 -.04212317 .02669123 -.04564958 -.022417367 .016792318 .02622236 -.005299301 .03947266 549 16740 .03012764 -.0021067539 .0006549659 -.06780068 .028932603 -.012487753 -.0189831 -.00542504 .04190223 -.007484939 -.05362711 -.02860733 -.04004635 .007386546 .02459655 -.02309087 550 16770 .036874164 .022903044 .009858321 .016966473 .021310084 .008755207 .002030119 -.0023292194 -.019418813 -.012905848 .018255513 -.02664867 -.007612819 -.025513627 .015653912 -.018896233 551 16800 .02603041 .05079743 .06382473 .06121418 .05826854 .09674203 .02218791 .014611217 .03842269 .0586242 .08046582 .09479393 .007614079 -.016849065 -.06997 -.002403252 552 16832 .05089425 .008887651 .023161793 .071299866 .0391313 .07634753 .05652154 .04368043 .0349449 .05673602 .035724454 .09643672 .05700416 .03035748 -.03190782 .022057075 553 16860 .013737775 -.009337934 .013733566 .0014214666 .025119893 .016426768 .0015209635 .034182895 .019244157 .04561214 .013933912 -.008673688 .03860347 .015923869 -.028673325 -.011765718 554 16891 -.04266783 -.009578243 .02191781 -.05333994 -.010988667 .031247607 .004285507 .01868752 -.020776996 -.036512632 -.04088477 -.03749501 .013293957 -.012990658 -.01249512 -.003505519 555 16919 -.0884157 -.08606239 -.082637 -.08210725 -.10749396 -.09793157 -.05717255 -.07966502 -.0513146 -.09110045 -.1199348 -.1645839 -.002871047 .008087409 .04099792 .019124225 556 16952 -.05632369 -.02448461 -.0398613 -.04370974 -.03434841 -.04923946 -.02823034 -.05104165 -.05740676 -.07534632 -.07191058 .00563299 -.09040327 -.008767043 .01899197 -.007765234 557 16982 -.01845937 -.02880651 -.04466356 -.05354819 -.04079641 -.05840277 -.03996766 -.025858765 -.016104974 -.019364087 -.0254896 -.035028208 -.05286396 .005977035 .009420212 -.010602538 558 17013 -.019159183 .009764983 -.013730022 .005576982 -.0044039185 -.011541373 -.005051493 -.033137154 -.03890553 -.05334356 -.06469689 -.04534233 -.04182302 -.033894908 .024410537 -.005290583 559 17016 -.018969866 -.016521811 .007836986 .007991228 -.001706224 .013182309 -.0602578 -.036040045 -.013109552 -.07036485 -.06049358 -.02650261 -.02209116 -.04537525 .01106629 -.03128218 560 17073 .013359115 -.006606265 -.0011684862 -.08274306 .00380839 -.008072114 -.029550737 -.015729846 .0017688642 -.032620586 -.05437453 -.015088003 -.02437127 -.02250165 .016294112 -.02420615 561 17105 -.029726585 -.0016438196 -.02406447 .008753752 -.04013434 .019652644 -.015531087 -.018567255 -.02487411 -.02341459 -.015747244 -.03293965 -.02079287 -.010266982 -.008065493 .00541892 562 17135 .0140799 .017753422 .01168812 .000846415 .02735121 .02808374 .010979573 -.01286277 -.03235892 .035520557 .0021095045 -.03865115 -.030431693 -.002932274 .005698118 .0022556894 563 17164 .012342807 .002651907 .02532444 .05813642 .005850881 .05268604 .0405661 .016880553 -.0025842716 .011806976 .0018899697 .07901114 .008173425 .002895128 .006564127 .01787544 564 17197 .00057625014 -.04167044 -.030980324 -.05385377 -.04571332 -.02727517 -.0023168772 -.026765045 -.0412286 -.0404091 -.02417124 -.05768742 .020467967 .017087847 .024135536 .01341793 565 17225 -.021339744 .014539896 .03032104 -.020256413 .025087724 .017465053 .011628302 .031006115 .008632513 -.018598115 -.01482121 -.010481693 -.030411925 -.01817038 .014313926 -.02459366 566 17255 .017076213 -.018395595 .018460695 -.010404594 .014837708 .01034437 .005234934 .00970064 .05816237 .05350159 .035326093 -.006726779 -.000792306 .004756282 -.013242662 .010147646 567 17286 .0013947227 .004332181 -.007152565 -.05757413 -.01959649 -.005943246 -.027601574 -.006080087 -.04270168 -.010499155 -.036140874 -.017404439 .008669008 -.009948587 .034700513 -.0020401292 568 17317 -.0666882 -.05554529 -.03198513 -.05888572 -.04879198 -.032853 -.06230661 -.04220365 -.04622415 .0009949286 -.04271074 -.0470719 -.02861251 .006810898 -.018440546 -.0013137953 569 17346 -.10486813 -.08665913 -.072245054 -.0929646 -.05710131 -.0543723 -.05413697 -.04702593 .001444131 -.08330815 -.07010791 -.019656394 -.03744557 .02244964 .006365013 -.02120155 570 17378 -.074492246 -.04712177 -.0513486 -.12024646 -.05970468 -.09834815 -.05876623 -.09252909 -.0725577 -.17480214 -.07683226 -.09992755 -.06299595 -.027231365 .04429677 -.028839596 571 17409 -.069323555 -.05008807 -.05156469 -.07011857 -.029490665 -.04647302 -.05387776 -.0332189 -.027504057 -.09560999 -.006299835 -.04743338 -.09360484 -.003186423 .003893689 -.03815737 572 17437 -.01521758 -.035303697 -.02648022 -.09141763 .007447567 .002759308 -.02344558 -.026504137 -.009756627 -.034004997 -.027334386 .025825903 -.04967902 -.0020119955 -.01891015 -.006380904 573 17470 -.10328118 -.07853573 -.1108269 -.1606795 -.10532845 -.12108836 -.08238388 -.1168544 -.07267936 -.1869186 -.13055053 -.1390902 -.021847187 .002446659 .02274813 -.01678691 574 17500 -.0495166 -.027770225 -.05944925 -.1541817 -.02361579 -.017948955 -.031271778 -.035313223 -.0460747 -.05684263 -.016879322 .00515669 -.11767782 .01267161 -.003540658 -.02812189 575 17528 -.21273364 -.09438699 -.1152195 -.221543 -.1619802 -.2044725 -.14751434 -.12361107 -.10914195 -.20506224 -.18416406 -.17441197 -.032971814 .017970609 .03581558 -.017542787 576 17535 -.022563474 -.04205478 -.020444015 -.06217391 -.021350246 -.04149307 -.04001224 -.03930405 -.01327094 -.03035569 .031415343 -.04632882 -.14950737 .0022656417 -.01472596 -.023132637 577 17591 -.04965245 -.06715851 -.0453437 -.11564876 -.04107025 -.10549287 -.08518538 -.07164754 -.07967509 -.09095945 -.07910264 -.05234359 -.030769177 -.0009016115 -.017666537 -.024801144 578 17622 .002405818 .018804453 -.009526116 -.02038502 .024349947 -.009912194 -.020152664 .013520817 .0013598346 -.015826374 .00987193 -.033554096 -.07422133 -.02116768 .006156875 -.035130896 579 17652 -.04650121 -.06800626 -.00455142 -.0208816 -.002329698 -.005993718 -.017476324 -.026452126 -.03694634 -.017357834 .010015244 -.04001694 -.007198175 .0004346976 -.016814297 -.020695567 580 17666 -.2103847 -.092931 -.12828092 -.22537696 -.11062974 -.1207327 -.12484726 -.09807409 -.10124905 -.0907317 -.0752554 -.06978655 -.022263614 .04216385 -.014844138 -.06214907 581 17713 -.07974052 -.08648466 -.03728328 -.14459044 -.08086649 -.08458832 -.08874702 -.04746394 -.07107839 -.07431808 -.071192995 -.09136473 -.11289106 -.0010323767 .01399073 -.01162285 582 17744 -.010371625 -.02107261 -.03412891 -.072365604 -.02787559 -.05959653 -.04721115 -.0409564 -.02191751 -.08793698 -.05700606 -.05924903 -.07597063 -.006609101 .005976551 -.0005956363 583 17773 -.2666403 -.19038256 -.12417056 -.3500932 -.15914235 -.214389 -.1676714 -.16249242 -.14305148 -.24643534 -.17114472 -.16214995 -.04073481 .03827669 -.00013994426 -.08154263 584 17805 -.3169118 -.2124846 -.18615566 -.3985656 -.19372335 -.27514946 -.25808036 -.1298081 -.17906797 -.28115085 -.1503841 -.22609644 -.1839243 .05240182 -.0014341027 -.12532339 585 17812 -.14290982 -.07878236 -.08612283 -.1863016 -.068690635 -.10605894 -.07619854 -.07814434 -.08372938 -.1456479 -.05556552 -.09856299 -.2125177 .0012603676 .013217213 -.04091463 586 17864 .1300621 .028481375 .10943165 .1541005 .008541646 .02536353 .07420932 -.002404478 -.025735207 .014549776 .003690678 -.02995189 -.08535194 -.04536122 .08717286 .0872915 587 17896 -.19119655 -.0605819 -.0863556 -.1935387 -.067495495 -.1309501 -.11428165 -.03962337 -.05572217 -.14647321 -.04351437 -.11318354 .03614311 .04370122 -.034746002 -.0928768 588 17927 -.1509391 -.09888387 -.0872794 -.1653448 -.06858998 -.08204854 -.07474202 -.04618511 -.07669839 -.08476344 -.07600134 -.04270785 -.0839198 .06089911 -.037100345 -.04997679 589 17955 .08982456 .10102387 .008955933 .13183358 -.011584026 -.017857118 .02029955 .064908996 .016777677 -.05426298 .000221599 .014169214 -.072214514 -.011089732 .0379986 .035662085 590 17987 .24213496 .17348814 .12801903 .2111638 .066186436 .17854184 .18589576 .12470845 .09985457 .0978804 .04593781 .0911279 .02137303 -.06526808 .08506554 .14559028 591 18017 .13045886 .07673252 .04477284 -.009326966 .033458147 .0427779 .09290155 .068455584 .06686883 .09496693 .11992221 .09477848 .10727768 .017141024 .03006507 .020619355 592 18046 -.05530249 .009791456 .00531882 -.05297896 .00025590224 -.02641989 -.0003310349 .005943622 .0362062 -.011847052 .08733137 -.04277446 .066630624 .030697644 -.01095272 -.04875057 593 18078 .06308907 .034372102 .06813278 -.035863444 .04813705 .063209474 .024212355 .07641993 .08697616 -.05049877 .0201349 .08579799 .004874492 -.02992305 .030942947 -.028731493 594 18109 .12607531 .07592998 .10983145 .035053484 .02391955 .036789168 .07261704 .04135562 .0768079 .06676562 .0190118 .04997751 .04056098 -.01451426 .08731189 .04091521 595 18140 .14475825 .02646523 .031800836 -.0173126 .04769722 .08607635 .05620588 .05873063 .05106134 -.02138328 .02851073 .009200165 .05564154 -.02003552 .035940744 .014192868 596 18170 -.07173641 -.05216466 -.0014777186 -.0730907 -.024976723 -.0487619 .03670815 -.034249265 -.006834815 -.013079953 .02859094 -.01347837 .04724266 .04606698 .007908394 .008825433 597 18200 .0048258 .016368287 .0729241 -.04313291 .06153653 .030894345 .032198895 .05694772 .01617037 .033929974 .04330334 .011715475 -.008745375 -.01944373 -.0046161627 -.03697025 598 18231 .009950382 .03993923 .03512443 .009552293 .03379203 .04403876 .0039206683 .00055316515 .0570284 -.000587074 -.0042717676 .04423591 .02755852 -.018093333 -.0034314955 -.016764438 599 18261 -.026336383 -.0012449734 .03338682 -.007252709 -.01598562 .001502755 .03856483 .016419593 .010691025 -.0010306062 .02491423 .01132995 .016515732 .015680565 .01163742 .011122 600 18291 -.0421465 .01537213 .022058357 -.0883254 .011137038 -.007219836 -.008668519 .0519309 .022345483 .001676882 .0964191 .017071245 .006946368 .03339005 -.0366457 -.05123968 601 18319 .09405476 .06218052 .08949238 .03142879 .05643068 .08364724 .023301246 .067311466 .08802073 .02458438 .036069084 .01978167 .012363728 -.03865157 .04073804 -.0238045 602 18352 .008717835 -.01551428 .0089823995 -.005671649 .003080061 .011986054 .05383447 .009279518 .017440027 .09085663 -.004703079 .02895765 .04812955 .031029066 .009242199 .05289286 603 18382 -.066271715 -.030572416 -.03289069 -.12806094 -.03855583 -.05133802 -.01441674 .034296803 -.012226696 -.02336738 -.003934935 -.02892252 .018942416 .02966857 .0009684825 -.013919638 604 18413 -.009236903 .029913455 .004697044 .015352484 .006242728 -.0006827074 -.002585085 .06533127 .017194642 .04494322 .024710974 .021235334 -.02567093 .015215335 -.007687643 -.007369133 605 18443 .08016773 .016521262 .05438766 .04272904 .02375086 .05380365 .0370062 .012417426 .02796931 .013220575 .018942686 .032000482 .012474895 -.02093153 .02375273 .02382105 606 18473 -.03633288 -.03752211 -.01978951 .004977634 -.014956792 -.02423689 .018108606 .02750083 -.001626904 .05515239 -.00039042975 -.02153139 .026036585 .033350963 -.011886684 .01647834 end format %td date
