https://communities.sas.com/t5/Statistical-Procedures/Fama-Macbeth-regression-and-Newey-West-correction/m-p/367316#M19268 <P>Hello, I have a SAS program and I need to change it. I do not need anything therein from ARIMA onwards. ARIMA and thereafter needs to be removed and instead of that Fama Macbeth regression technique followed by Newey West correction needs to be integrated into the program. I attach my SAS program, macros on Fama Macbeth regression and Newey West correction and datasets. I have links to Newey West correction . One of the raw data files is too large and cannot be posted. I can share it on email.</P><DIV class="body undoreset"><DIV class="email-wrapped"><DIV><DIV><DIV><DIV>&nbsp;</DIV><DIV><DIV><A href="http://jeffreyhoopes.com/nader/Fama_MacBeth_Macro.sas" target="_blank" rel="noreferrer">http://jeffreyhoopes.com/nader /Fama_MacBeth_Macro.sas</A></DIV><DIV>&nbsp;</DIV><DIV><DIV><DIV><A href="https://kelley.iu.edu/nstoffma/fe.html" target="_blank" rel="nofollow">Clustering, Fixed Effects, and Fama-MacBeth in SAS</A></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV> Thu, 15 Jun 2017 11:17:33 GMT VJ13 2017-06-15T11:17:33Z https://communities.sas.com/t5/Statistical-Procedures/Fama-Macbeth-regression-and-Newey-West-correction/m-p/367316#M19268 <P>Hello, I have a SAS program and I need to change it. I do not need anything therein from ARIMA onwards. ARIMA and thereafter needs to be removed and instead of that Fama Macbeth regression technique followed by Newey West correction needs to be integrated into the program. I attach my SAS program, macros on Fama Macbeth regression and Newey West correction and datasets. I have links to Newey West correction . One of the raw data files is too large and cannot be posted. I can share it on email.</P><DIV class="body undoreset"><DIV class="email-wrapped"><DIV><DIV><DIV><DIV>&nbsp;</DIV><DIV><DIV><A href="http://jeffreyhoopes.com/nader/Fama_MacBeth_Macro.sas" target="_blank" rel="noreferrer">http://jeffreyhoopes.com/nader /Fama_MacBeth_Macro.sas</A></DIV><DIV>&nbsp;</DIV><DIV><DIV><DIV><A href="https://kelley.iu.edu/nstoffma/fe.html" target="_blank" rel="nofollow">Clustering, Fixed Effects, and Fama-MacBeth in SAS</A></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV> Thu, 15 Jun 2017 11:17:33 GMT https://communities.sas.com/t5/Statistical-Procedures/Fama-Macbeth-regression-and-Newey-West-correction/m-p/367316#M19268 VJ13 2017-06-15T11:17:33Z