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How Fama and French June to July Portfolios are Constructed?

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The description of portfolios’ construction given in various Fama and Fench papers is usually confusing for many researchers, especially those who are new to asset pricing models. The typical language used in Fama and French papers reads like this The size breakpoint for year t is the median NYSE market equity at the end of

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fillmissing: Fill Missing Values in Stata

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This post presents a quick tutorial on how to fill missing values in variables in Stata. This tutorial uses fillmissing program which can be downloaded by typing the following command in Stata command window net install fillmissing, from(http://fintechprofessor.com) replace   Important Note: This post does not imply that filling missing values is justified by theory.

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Export output of Table command from Stata to Word using asdoc

Exporting tables from table command was the most challenging part in asdoc programming. Nevertheless, asdoc does a pretty good job in exporting table from table command. asdoc accepts almost all options with table command, except cellwidth(#), stubwidth(#), and csepwidth(#).   7.1 One-way table Example 54 : One-way table; frequencies shown by default sysuse auto, clearasdoc

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Customized tables using option row() of asdoc – Stata

This is rather a quick example of how to use option row() of asdoc for creating highly customized tables. We are interested in a table that is given bellow. * Load example dataset sysuse auto,clear * Write the header row of the table with table title asdoc, row(Dependent variable:domestic or foreign, Domestic mean/frequency, Domestic SD,

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tabstat with asdoc in Stata

asdoc makes some elegant tables when used with tabstat command. There are several custom-made routines in asdoc that creates clean tables from tabstat command. asdoc fully supports the command structure and options of tabstat. And, yes asdoc allows one additional statistics, that is, t-statistics alongside the allowed statistics in tabstat. For reporting purposes, asdoc categorizes

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Quick setup of Python with Stata 16

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With the announcement of Stata 16, Python commands can be executed directly from the Stata command prompt, do files or ado programs. That would definitely expand the possibilities of doing extraordinary things without leaving the Stata environment. However, this integration exposes Stata to all the problems of Python installations and its packages. First of all,

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Fama and MacBeth regression with Shanken correction using asreg

If you are not yet familiar with asreg, here is a quick start. Implementing the Fama and MacBeth regression using asreg is super-fast and easy. Here are a few posts related to this implementation. FMB regressions with asreg FMB regression – what, how and where FMB regressions with 25-portfolios – An example The Shanken Correction

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Fama – MacBeth (1973) procedure: What, how and where | asreg in Stata

Fama and MacBeth (1973) procedure can be used in testing asset pricing models and in other areas. In this post, my primary focus is on its use in testing asset pricing models. FMB in asset pricing models It is actually a three-step process. We would divide the time period into three parts. 1. The first

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Export correlation table to Word with stars and significance level using asdoc

The updated version of asdoc can now create a table of correlation with significance levels starred at different levels. The new version can be installed by typing the following line in Stata. Installation of the new version net install asdoc, from(http://fintechprofessor.com) replace An Example sysuse auto, clear asdoc pwcorr price mpg rep78 headroom trunk weight

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asdoc abbreviates / truncates my variable names and labels | Word to Stata

Stephen Okiya has asked the following question I notice that the variable names are truncated in spite of using the option abb(100). Do you know why this is the case? Answer: asdoc uses the abbrev() function of Mata. For some reasons, the abbrev() function splits the following sentence in half, no matter which value we

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