Fama French 3 factor with ETFs

[Luca Garobbio]

Dear all,

I have some problem to run my regression of Fama-French 3 factor model. My dataset consist of 1800 passive ETFs with monthly data from 01.2012 to 12.2016, I matched this dataset with the data available from p://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html which contain data for the Fama-French 3 factor model and the risk free; and now I’m trying to do the the 3 factor fama-french model for every id(etf) present in my database. The problem is that I don’t really understand how to tell stata to run the regression for each id present in the dataset.

can someone help me?

best,
Luca

[Phil Bromiley]

There have been a pile of postings on this list about Fama-French. Please read them all carefully before asking your question. Also, try to follow the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex.

I doubt if you need to program this yourself, but if you did, statsby would be appropriate.