Hello
I'm performing a Fama-Macbeth regression for my paper but my code stops working once I try to use "xtset"
The error I'm receiving is:
repeated time values within panel
r(451);
Can someone help me with solving this issue? I will also add the data files I use and the code I'm intending to use is below.
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
I'm performing a Fama-Macbeth regression for my paper but my code stops working once I try to use "xtset"
The error I'm receiving is:
repeated time values within panel
r(451);
Can someone help me with solving this issue? I will also add the data files I use and the code I'm intending to use is below.
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
