Fama Macbeth cross sectional regression

[priya sawaliya]

Hello, I want to run Fama Macbeth cross sectional regression of monthly excess return of 500 securities. My data is from July 2005 to June 2019. But some securities prices are not available from July 2005. Therefore, the returns of all securities are not starting from July 2005.

There are two steps in the Fama and MacBeth (1973) regression analysis. In first step, each month we estimation cross-sectional regression. in second step, we compute T time-series averages of the coefficients which we get from cross-sectional regressions.

This entire process needs much calculation. Is there any way of doing this with less effort which can save time also?

Thank you
Priya

[Phil Bromiley]

Please follow the FAQ on asking questions.

If you had bothered to google fama mcbeth stata, you would find that programs have been written to do such estimates.