Home Forums ASREG : Rolling window and Fama-MacBeth Regressions asreg with single variable | Stata

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  • Paul
    Guest
    Post count: 116

    Hi Attaullah

    Attached is a (slightly) modified version of asreg.ado which now allows for a regression on a single variable.
    Example:

    by permno: asreg ret, newey(6) se

    The example above allows one to calculate standard errors of the mean return for each stock – something that might be useful from time to time.

    Excellent software, btw, thanks for sharing.

    Attaullah Shah
    Keymaster
    Post count: 68

    Hello Paul
    Thanks for the suggestion and contributing to asreg. I hope it will be useful for many other members of the asreg community. I shall implement these changes in the coming version 5.0 of asreg, which has a significant speed advantage and has a new flexible window.

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