Hello everyone,
I'm new to the topic Stata, and have a rather simple question, unfortunately I could not quite find the right answer in previous posts.
I have to run a time-series regression for my dataset to evaluate fund performance to compare Jensens Alphas of my portfolios (with 1 factor - CAPM, or 3 factors - Fama French).
My dataset consists of several portfolios, I have monthly returns for each portfolio, and the returns of the factors in the period 07/2003 to 12/2009.
This is an example of my dataset. I just copied the first 17 returns of my first portfolio (Portfolio1) and the market factor (MktRF).
* Example generated by -dataex-. To install: ssc install dataex
* dataex Portfolio1 MktRF date
clear
input double(Portfolio1 MktRF) float date
2.991708664849368 2.35 522
4.0425122517792085 2.34 523
-1.3992360748587176 -1.24 524
6.533121616215525 6.08 525
1.933250246006822 1.35 526
3.7992719659766725 4.29 527
2.0829299988670735 2.15 528
1.6863102088087467 1.4 529
-.13288865907503128 -1.32 530
-3.5667886766823087 -1.83 531
1.375006740249057 1.17 532
2.2870527261727327 1.86 533
-3.939782182699152 -4.06 534
-.19048266712117615 .08 535
3.4802018436805704 1.6 536
2.4008613522892945 1.43 537
6.010366755240809 4.54 538
end
format %tmNN/CCYY date
What is the code for Stata when I want to regress the dependent variable Portfolio1 to the independent variable MktRF in a time-series?
Do I just include the date as an independent variable?
Or is it a little more complicated?
Is reghdfe an option?
Thank you very much for your help!
Best,
Sandra
I'm new to the topic Stata, and have a rather simple question, unfortunately I could not quite find the right answer in previous posts.
I have to run a time-series regression for my dataset to evaluate fund performance to compare Jensens Alphas of my portfolios (with 1 factor - CAPM, or 3 factors - Fama French).
My dataset consists of several portfolios, I have monthly returns for each portfolio, and the returns of the factors in the period 07/2003 to 12/2009.
This is an example of my dataset. I just copied the first 17 returns of my first portfolio (Portfolio1) and the market factor (MktRF).
* Example generated by -dataex-. To install: ssc install dataex
* dataex Portfolio1 MktRF date
clear
input double(Portfolio1 MktRF) float date
2.991708664849368 2.35 522
4.0425122517792085 2.34 523
-1.3992360748587176 -1.24 524
6.533121616215525 6.08 525
1.933250246006822 1.35 526
3.7992719659766725 4.29 527
2.0829299988670735 2.15 528
1.6863102088087467 1.4 529
-.13288865907503128 -1.32 530
-3.5667886766823087 -1.83 531
1.375006740249057 1.17 532
2.2870527261727327 1.86 533
-3.939782182699152 -4.06 534
-.19048266712117615 .08 535
3.4802018436805704 1.6 536
2.4008613522892945 1.43 537
6.010366755240809 4.54 538
end
format %tmNN/CCYY date
What is the code for Stata when I want to regress the dependent variable Portfolio1 to the independent variable MktRF in a time-series?
Do I just include the date as an independent variable?
Or is it a little more complicated?
Is reghdfe an option?
Thank you very much for your help!
Best,
Sandra