topic Switching from panel regression to "fama Macbeth" regression in SAS Forecasting and Econometrics

Switching from panel regression to "fama Macbeth" regression

lior — Thu, 18 Dec 2014 10:02:09 GMT

Hello,

I run the following panel regression:

proc panel data=invest.table_regressionfinal ;

id GVKEY DATADATE;

model r_tmw=eps_deflate deltaeps_deflate/fixone ;

run;

Now I would like to run the same regression in "fama Macbeth" method.

Anyone happen to know how to formulate the "fama Macbeth" procedure and what are the implications of switching from panel regression to "fama Macbeth" regression ?

Thanks,

Lior

Re: Switching from panel regression to "fama Macbeth" regression

ets_kps — Thu, 18 Dec 2014 15:16:47 GMT

there probably are more elegant ways to do this but here is a quick find on the web. Have fun. http://kelley.iu.edu/nstoffma/fe.html

Re: Switching from panel regression to "fama Macbeth" regression

lior — Fri, 19 Dec 2014 14:38:35 GMT

Hi,

Thanks for the link.

Actually I've already looked at this link before but as I don't understand the code its hard for me to use it...

could you please transform the following regression:

proc panel data=invest.table_regressionfinal ;

id GVKEY DATADATE;

model r_tmw=eps_deflate deltaeps_deflate/fixone ;

run;

into the "fama Macbeth" code (which include Newey-West adjustment for standard errors)

which is presented at the link as:

proc sort data=pe; by variable; run;

%let lags=3;

ods output parameterestimates=nw;

ods listing close;

proc model data=pe;

by variable;

instruments / intonly;

estimate=a;

fit estimate / gmm kernel=(bart,%eval(&lags+1),0) vardef=n; run;

quit;

ods listing;

proc print data=nw; id variable;

var estimate--df; format estimate stderr 7.4;

run;

More over, I havn't found in the web the implication of this method, meaning what is the different in using

"fama Macbeth" method comper to a regular regression?

Thanks,

Lior