[Attaullah Shah]

Since your window is 15, you should use the option min(15) to suppress the regression coefficients arising out of less than 15 observations.

 . webuse grunfeld, clear
 
 . bys company: asreg invest mvalue kstock, wind(year 10) min(10)

     +--------------------------------------------------------------------+
     | _Nobs         _R2      _adjR2   _b_mvalue   _b_kstock      _b_cons |
     |--------------------------------------------------------------------|
  1. |     .           .           .           .           .            . |
  2. |     .           .           .           .           .            . |
  3. |     .           .           .           .           .            . |
  4. |     .           .           .           .           .            . |
  5. |     .           .           .           .           .            . |
     |--------------------------------------------------------------------|
  6. |     .           .           .           .           .            . |
  7. |     .           .           .           .           .            . |
  8. |     .           .           .           .           .            . |
  9. |     .           .           .           .           .            . |
 10. |    10   .46011588   .30586328   .05693085   .46800615    96.771625 |
     |--------------------------------------------------------------------|
 11. |    10    .5614129    .4361023   .08887698   .88729908   -126.96142 |
 12. |    10   .78380282   .72203219   .08872388   1.2292866   -214.23699 |
 13. |    10   .71488429   .63342265   .12516278   .42876425   -160.50868 |
 14. |    10   .45098464   .29412311   .11227122   .29657166   -65.906213 |
 15. |    10   .52009389   .38297786    .0912647   .16681578     85.23875 |
     |--------------------------------------------------------------------|
 16. |    10   .72287646    .6436983   .10511862   .17118093    38.538037 |
 17. |    10   .88167177    .8478637   .11069522   .16073767    27.814834 |
 18. |    10   .91376003   .88912004   .13377585   .20041587   -91.965695 |
 19. |    10   .95105686    .9370731    .1749349   .25069983   -299.34944 |
 20. |    10   .94840015   .93365733   .17671561   .34521899   -390.57569 |
     +--------------------------------------------------------------------+

You can explore more about asreg here https://fintechprofessor.com/2017/12...ions-in-stata/

[Sonakshi Agrawal]

On running the following example mentioned in the help document, I am getting an error. Could someone please guide me.

webuse grunfeld, clear
bys company: asreg invest mvalue kstock, wind(year 10)

=0 invalid name
r(198);

[Attaullah Shah]

The recent update to asreg has this bug. I have fixed it and sent it to the SSC. Hopefully, it will be updated in a few days. In the meanwhile, you can download it from my site using the following code

net install asreg, from(http://fintechprofessor.com) replace

After installation, check the latest version with:

. which asreg

*! Attaullah Shah ;  Email: [email protected] ; * Support website: www.FinTechProfessor.com
*!Version 4.8 : Dec 27, 2022 : Option newey(0) would default to standard errors. This is has been fixed.

[Diogo Castro Assumpcao]

Hi! Could someone help me with an issue?

I'm trying to do a two stage fama mcbeth regression on stata by running this code:

ado uninstall asreg
ssc install asreg

xtset ret ym

sort id ym

*First step command

bys id: asreg ret mktrf smb hml rmw cma pvs

drop _R2 _adjR2

*Second step command

asreg ret _b_mktrf _b_smb _b_hml _b_rmw _b_cma _b_pvs _b_cons, fmp

I keep geting the error "option fmp not allowed" at the second step. I tried the uninstall and install again command but doesn't change a thing. The only thing that comes to mind is that I am using a small number of id's (portfolios in this case), only 6. Could this be the problem?

Thank you in advance.

[Attaullah Shah]

The option is not

fmp

It is

fmb

To read more about asreg and its options, visit the main page of asreg . For Fama and MacBeth regressions, visit this page.

[Diogo Castro Assumpcao]

Indeed! Sorry for the rookie mistake still getting used to the package... But thank you very much, I successfully ran the regression!

The only thing that is puzzling me now is that even though I use the Fama-French 5 factor model, plus a new factor I am testing the signficance, I still get a significant and very high constant (around 1% monthly), which It's certainly too high. Any tips on how to deal with this? Thank you in advace!

[Jie Hu]

Hi,

I'm wondering is there a way to output standard errors of the residuals for each regression when apply asreg?

Thank you in advance.

[Attaullah Shah]

Use the option fit to report residuals with each regression, then you may calculate the standard errors in a usual manner.

. webuse grunfeld, clear

bys company: asreg invest mvalue kstock, wind(year 10) fit

     +-----------------------------------------+
     | company   year     _fitted   _residuals |
     |-----------------------------------------|
  1. |       1   1935           .            . |
  2. |       1   1936           .            . |
  3. |       1   1937           .            . |
  4. |       1   1938   257.91024   -.21023193 |
  5. |       1   1939    337.5661   -6.7661144 |
     |-----------------------------------------|
  6. |       1   1940   387.80812    73.391895 |
  7. |       1   1941   423.96115    88.038848 |
  8. |       1   1942   395.00509    52.994906 |
  9. |       1   1943   437.38193    62.218072 |
 10. |       1   1944   440.43891    107.06109 |
     +-----------------------------------------+

[Jie Hu]

Hi Dr. Attaullah,

Thank you for your prompt reply. I apologize for any confusion in my previous message. To clarify, I am seeking to obtain the standard errors of residuals for each rolling regression, similar to how we have an R^2 for each rolling regression. From my understanding, the fit option only provides the residual of the last observation in each rolling regression, which does not fulfill my requirement. I would greatly appreciate any suggestions on how to achieve this.

Thanks,
Jie