stata简单回归，Fama-MacBeth逐步回归用什么软件实现 请教Fama-MacBeth回归，以及Fama-French...
fama-macbeth \u7edf\u8ba1\u91cf\u4ec0\u4e48\u610f\u601d\uff1fFamaand MacBeth(1973,FM)\u63d0\u51fa\u4e86\u68c0\u9a8cCAPM\u7684\u65b9\u6cd5\uff0c\u8be5\u65b9\u6cd5\u4e0d\u4ec5\u4ec5\u7528\u4e8e\u68c0\u9a8cCAPM\uff0c\u800c\u4e14\u53ef\u7528\u4e8e\u591a\u56e0\u7d20\u5b9a\u4ef7\u6a21\u578b\u68c0\u9a8c\uff0c\u5176\u6eda\u52a8\u56de\u5f52\u7684\u601d\u60f3\u8fd8\u5e94\u7528\u4e8e\u9884\u6d4b\u3002CAPM\u6307\u9884\u671f\u62a5\u916cE(R)\u4e0e\u98ce\u9669\u95f4\u5b58\u5728\u7740\u7ebf\u6027\u5173\u7cfb\uff0c\u8fd9\u79cd\u5173\u7cfb\u80fd\u7528\u4e8e\u89e3\u91ca\u6a2a\u65ad\u9762\u9884\u671f\u62a5\u916c\uff0cFamaand MacBeth(1973)\u7b2c\u4e00\u4e2a\u63d0\u51fa\u4e86\u6a2a\u65ad\u9762\u56de\u5f52\u7684\u601d\u8def\u3002\u68c0\u9a8cCAPM\u6a21\u578b\u4e3aR0\u4e3a\u96f6-Beta\u8bc1\u5238\u62a5\u916c\uff0c\u4e0e\u5e02\u573a\u6295\u8d44\u7ec4\u5408\u62a5\u916c\u65e0\u5173\u3002\u5f0f\u8868\u660e\u8bc1\u5238i\u7684\u9884\u671f\u62a5\u916c\u662f\u96f6-Beta\u8bc1\u5238\u9884\u671f\u62a5\u916cR0\u52a0\u98ce\u9669\u62a5\u916c\uff0cRm\u4e3a\u6240\u6709\u80a1\u7968\u7b49\u6743\u91cd\u7684\u62a5\u916c\u3002\u5982\u679cCAPM\u6210\u7acb\uff0c\u90a3\u4e48\u9884\u671f\u62a5\u916c\u4e0e\u98ce\u9669\u95f4\u5b58\u5728\u7740\u7ebf\u6027\u5173\u7cfb\uff0c\u03b2i\u662f\u5bf9\u80a1\u7968i\u98ce\u9669\u7684\u5b8c\u5168\u5ea6\u91cf\uff0c\u9ad8\u98ce\u9669\u9ad8\u62a5\u916c\uff0c()()()()[]00REREREREmii−+=\u03b2()()00
\u597d\u50cf\u73b0\u5728\u6587\u732e\u91cc\u63d0\u5230Fama-MacBeth\u56de\u5f52\u901a\u5e38\u6307\u7684\u662f\uff1a\u4ee5\u5404\u4e2a\u6a2a\u622a\u9762\u7684\u6570\u636e\u4f30\u8ba1\u51fa\u4e00\u7ec4\u56de\u5f52\uff0c\u7136\u540e\u5229\u7528\u8fd9\u4e9b\u56de\u5f52\u7684\u7cfb\u6570\u518d\u8ba1\u7b97\u51fat\u503c\uff0c\u4ece\u800c\u89e3\u51b3Cross-sectional corrleation of resiudals\u5bf9\u56de\u5f52t\u503c\u7684\u9ad8\u4f30\u95ee\u9898\u3002
\u3010 \u5728 bbscity (\u8fd8\u6211\u673a\u4f1a) \u7684\u5927\u4f5c\u4e2d\u63d0\u5230: \u3011
: \u4ee5\u6211\u76ee\u524d\u5bf9Fama-Macbeth\u7684\u7406\u89e3\u5c31\u662f\uff08\u5509\uff0c\u770b\u4e86\u8fd9\u4e48\u5e38\u65f6\u95f4\u4e00\u76f4\u56f0\u6270\u5728\u7b2c\u4e8c\u6b65\uff09\uff1a
: \u8981\u89e3\u51b3\u7684\u95ee\u9898\u662f\uff0cBeta\u548c\u56de\u62a5\u6709\u957f\u671f\u7a33\u5b9a\u7684\u7ebf\u6027\u5173\u7cfb\uff0c
: \u56e0\u4e3a\u5355\u4e2a\u80a1\u7968\u7684beta\u7a33\u5b9a\u6027\u5dee\uff0c\u4e14\u4f30\u8ba1\u7684\u7cbe\u5ea6\u5dee\uff0c
【 在 bbscity (还我机会) 的大作中提到: 】
: 以我目前对Fama-Macbeth的理解就是（唉，看了这么常时间一直困扰在第二步）：
: 要解决的问题是，Beta和回报有长期稳定的线性关系，
: 因为单个股票的beta稳定性差，且估计的精度差，
绛旓細濂藉儚鐜板湪鏂囩尞閲屾彁鍒Fama-MacBeth鍥炲綊閫氬父鎸囩殑鏄細浠ュ悇涓í鎴潰鐨勬暟鎹及璁″嚭涓缁鍥炲綊锛鐒跺悗鍒╃敤杩欎簺鍥炲綊鐨勭郴鏁板啀璁＄畻鍑簍鍊硷紝浠庤岃В鍐矯ross-sectional corrleation of resiudals瀵瑰洖褰抰鍊肩殑楂樹及闂銆傘 鍦 bbscity (杩樻垜鏈轰細) 鐨勫ぇ浣滀腑鎻愬埌: 銆: 浠ユ垜鐩墠瀵笷ama-Macbeth鐨勭悊瑙ｅ氨鏄紙鍞夛紝鐪嬩簡杩欎箞甯告椂闂...
绛旓細stata鍥炲綊涓爣鍑嗚鏄浂涓鑸潵鐪嬶紝p鍊间负闆跺簲璇ユ剰鍛崇潃鍦1锛呯殑鏄捐憲鎬ф按骞充笅鎷掔粷鍘熷亣璁惧惂銆傚鏋滄槸浣滅敤绯绘暟鐨凱鍊硷紝鎰忓懗鐫浣滅敤绯绘暟鏄捐憲銆傚鏋滄槸闇嶆柉鏇兼楠岀殑P鍊硷紝鎰忓懗鐫妯″瀷搴旇寤虹珛鍥哄畾鏁堝簲璁颁綇famamacbech鍥炲綊锛绗竴姝ョ旱鍚戝洖褰掞紝鎷跨涓姝ョ殑鍥炲綊绯绘暟褰撹嚜鍙橀噺锛屽啀鍋氭í鍚戝洖褰掞紝鎶婄郴鏁板钩鍧囦竴涓嬪氨ok浜嗭紝鐒跺悗骞冲潎涔...
绛旓細鍙互銆傜敤鍛戒护 xtfmb
绛旓細涓嶅彲浠ョ敤fama mecbeth鐨
绛旓細xtfmb鍛戒护锛屼綘浠旂粏闃呰浠ヤ笅
绛旓細鐩稿叧鐨Stata鍛戒护濡備笅锛歳eg y x x1 x2 x3...锛宺 /*reg鏄stata鐨鍥炲綊鍛戒护锛寉鏄洜鍙橀噺锛寈鏃惰嚜鍙橀噺锛屽叾浠杧鏄帶鍒跺彉閲忥紝琛ㄧず妯″瀷杩涜浜嗗紓鏂瑰樊璋冩暣.锛堜簩锛夌泩浣欑鐞嗙殑搴﹂噺 璁稿鏂囩尞宸茬粡璇佸疄浜嗕紒涓氬瓨鍦ㄧ泩浣欑鐞嗭紙鍒樻収榫欑瓑锛2014锛夛紝鐩堜綑绠＄悊寰寰鏄鐞嗗眰鑷埄琛屼负鐨勫伐鍏枫傛墍浠ュ浣曡瘑鍒紒涓氱殑鐩堜綑绠＄悊绋嬪害锛屽浜...
绛旓細2012-09-19 Fama-MacBeth閫愭鍥炲綊鐢ㄤ粈涔堣蒋浠跺疄鐜?stata 鍙互涔? 2011-05-10 鎵浠ュ彲浠ュ舰瀹筂ACBETH鐨勮嫳鏂囪瘝 2008-09-13 鑾庡＋姣斾簹鐨刴acbeth搴旇鎬庝箞鐞嗚В? 66 2007-12-19 姹侻acbeth 涔愰槦鐨勬瓕! 2007-11-06 macbeth 鍒板簳鏄庝箞鏍峰緱浜? 89 鏇村鍏充簬macbeth鐨勭煡璇 > 缃戝弸閮藉湪鎵: macbeth loo s棣欑儫澶氬皯閽变竴鍖...
绛旓細濂藉儚鐜板湪鏂囩尞閲屾彁鍒Fama-MacBeth鍥炲綊閫氬父鎸囩殑鏄細浠ュ悇涓í鎴潰鐨勬暟鎹及璁″嚭涓缁鍥炲綊锛鐒跺悗鍒╃敤杩欎簺鍥炲綊鐨勭郴鏁板啀璁＄畻鍑簍鍊硷紝浠庤岃В鍐矯ross-sectional corrleation of resiudals瀵瑰洖褰抰鍊肩殑楂樹及闂銆傘 鍦 bbscity (杩樻垜鏈轰細) 鐨勫ぇ浣滀腑鎻愬埌: 銆: 浠ユ垜鐩墠瀵笷ama-Macbeth鐨勭悊瑙ｅ氨鏄紙鍞夛紝鐪嬩簡杩欎箞甯告椂闂...
绛旓細濡傛灉鏄綔鐢ㄧ郴鏁扮殑P鍊硷紝鎰忓懗鐫浣滅敤绯绘暟鏄捐憲銆傚鏋滄槸闇嶆柉鏇兼楠岀殑P鍊硷紝鎰忓懗鐫妯″瀷搴旇寤虹珛鍥哄畾鏁堝簲璁颁綇famamacbech鍥炲綊锛岀涓姝ョ旱鍚戝洖褰掞紝鎷跨涓姝ョ殑鍥炲綊绯绘暟褰撹嚜鍙橀噺锛屽啀鍋氭í鍚戝洖褰掞紝鎶婄郴鏁板钩鍧囦竴涓嬪氨ok浜嗭紝鐒跺悗骞冲潎涔嬪墠鎶婃爣鍑嗗樊绠楀嚭鏉ワ紝涓闄わ紝t鍊煎氨鍑烘潵浜嗭紝鐢╰鍒嗗竷鍑芥暟绠楀嚭p鍊煎氨Ok浜嗐
