I am currently working on a financial analysis project and have been using the 'XTFMB' command in Stata for Fama-MacBeth regressions. While this command provides a robust framework for my analysis, I find myself in need of the adjusted R-squared values to more accurately evaluate the model's explanatory power.
The 'XTFMB' command outputs the standard R-squared, but I am unable to locate a method for obtaining the adjusted R-squared, which is crucial for my research as it accounts for the number of independent variables in the model.
Here is the basic structure of the code I am using:
xtfmb y x1 x2 x3, lag(13)
I am seeking advice on how to calculate and display the adjusted R-squared within the 'XTFMB' command or if there is an alternative approach to achieve this within Stata.
Would anyone be able to share their insights or suggest a solution to this problem? Any guidance or code snippets would be greatly appreciated.
Thank you in advance for your assistance and for contributing to the knowledge-sharing spirit of this forum.
The 'XTFMB' command outputs the standard R-squared, but I am unable to locate a method for obtaining the adjusted R-squared, which is crucial for my research as it accounts for the number of independent variables in the model.
Here is the basic structure of the code I am using:
xtfmb y x1 x2 x3, lag(13)
I am seeking advice on how to calculate and display the adjusted R-squared within the 'XTFMB' command or if there is an alternative approach to achieve this within Stata.
Would anyone be able to share their insights or suggest a solution to this problem? Any guidance or code snippets would be greatly appreciated.
Thank you in advance for your assistance and for contributing to the knowledge-sharing spirit of this forum.
