Fama Macbeth regression

[Britt Blom]

Hello

I'm currently working on a paper and would like to perform a Fama-Macbeth regression.
I was thinking of using the excess returns as dependent variables and the 5 fama French factors as the independent variables.
The issue I have is that I don't know what to do. I have found the code that is necessary for the regression but somehow it doesn't work out for me.

Can someone help me out? I will add an excel file with the data I have. Thank you in advance.

[Giorgio Di Stefano]

Hello

I'm currently working on a paper and would like to perform a Fama-Macbeth regression.
I was thinking of using the excess returns as dependent variables and the 5 fama French factors as the independent variables.
The issue I have is that I don't know what to do. I have found the code that is necessary for the regression but somehow it doesn't work out for me.

Can someone help me out? I will add an excel file with the data I have. Thank you in advance.

To post your data sample please use dataex !

[Devra Golbe]

Giorgio makes an excellent suggestion. I would add that you should reduce the size of your data sample to the extent possible. Alternatively, demonstrate your issue with one of the datasets Stata provides. Also, you need to be more specific. "I have found the code... but somehow it doesn't work out for me" is not likely to get you a helpful response. What code did you use, and what error message did you get?

[Britt Blom]

The entire code I would like to use is:

cd "/Users/brittb/Desktop"

use youtubereturns.dta, clear

merge m:m Month using youtubefactors.dta

encode Company, gen(Symbol)

format Month %tm

xtset EReturn Month

sort Symbol Month

bys Symbol: asreg EReturn MktRF SMB HML RMW CMA

drop _R2 _adjR2

asreg EReturn _b_MktRF _b_SMB _b_HML _b_RMW _b_CMA, fmb

However I receive the following error when executing "xtset EReturn Month"
repeated time values within panel
r(451);

I also added the data files used

[Devra Golbe]

See this Stata FAQ on dealing with reported repeat time values within a panel. Also, you should read and heed the Statlist Forum FAQs. asreg is presumably the code contributed by Attuallah Shah. Identify it as such and say where you got it.

[William Lisowski]

You run

xtset EReturn Month

but EReturn - Excess Returns - is your dependent variable, not your panel identifier. I think perhaps you want

xtset Symbol Month

because your data are, I am guessing, monthly observations of companies, so each Company is a panel.