Hi,
I am trying to perform a Fama-Macbeth (FMB) regression manually. The FMB performs crossectional regressions over a time period and then averages the coefficients. I used the asreg and the xtfmb commands for the regression to receive the average coefficients but I would also like to count the positive and negative coefficients for all variables. Maybe a loop would work.
The structure of my data is the following, it is a panel and my date variable is quarterly. I have multiple independent variables for my dependent variable and I would also like to have the results for the constant term as well.
Thank you very much for your help.
I am trying to perform a Fama-Macbeth (FMB) regression manually. The FMB performs crossectional regressions over a time period and then averages the coefficients. I used the asreg and the xtfmb commands for the regression to receive the average coefficients but I would also like to count the positive and negative coefficients for all variables. Maybe a loop would work.
The structure of my data is the following, it is a panel and my date variable is quarterly. I have multiple independent variables for my dependent variable and I would also like to have the results for the constant term as well.
Thank you very much for your help.
