Home Forums ASREG : Rolling window and Fama-MacBeth Regressions asreg, newey, deeper lags and time series gaps, Stata

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  • Amanda Borge Byrkjeland
    Post count: 118

    I saw your article about Fama Macbeth regression in Stata (https://fintechprofessor.com/stata-programs/asreg-a-powerful-package-for-regressions-in-stata/fama-and-macbeth-1973-fastest-regression-in-stata/). I have the same problem has Jon in the comments. I am running an “asreg fmb” regression and I would like to use Newey-West standard errors with 8 lags. Unfortunately, I do have some time gaps in my dataset, and therefore get an error saying “No observations” running with newey(8).

    Is there anything one can do to cope with this? Or is it impossible to use newey when there is an unbalanced panel dataset?

    Hope to hear from you. It would be much appreciated!

    Best regards,
    Amanda Byrkjeland

    Attaullah Shah
    Post count: 69

    Can you please share the dataset on which the said error is produced?

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