Hello, I am trying to compute firm specific volatility and skewness using monthly stock returns calculated from CRSP monthly stock prices. To be included in the return tests for July of year t, a firm must have Compustat/CRSP data for December of year t − 1 and June of year t. It must also have monthly returns for at least 24 of the 36 months preceding July of year t in order to calculate the firms’ volatility and skewness and the firm’s beta. Furthermore, I will proceed with Fama-MacBeth rolling procedure. I have found one macro for rolling regression (see attachment) and call it as it is below: %rollingreg (data= Crsp_Comp, out_ds=_outest_ds , id=permno , date=date , model_equation= ex_ret_mon= market_premium , start_date=1980 , end_date= 2010, freq=month, s=1, n=36,regprint=yes); Then I saved the residuals of the regression and compute the standard deviation of the residuals for the volatility measure and skewness respectively but does not seem to work. Can anyone help me with that? Thank you in advance.
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