我正在嘗試在Matlab中計算FAMA MacBeth斜率系數(shù)的Newey West t統(tǒng)計量。我應該在每個橫截面回歸中計算標準誤差嗎？

for j=1:T

....

Result=regstats2(y(:,T),x(:,T),'linear',{'beta' 'r' 'tstat' 'rsquare'});

BETAS1(j,DUMMY_AVAILABILITY_INDEX) = Result.beta;

TSTAT(j,DUMMY_AVAILABILITY_INDEX) = Result.tstat.t;

PVAL(j,DUMMY_AVAILABILITY_INDEX) = Result.tstat.pval;

SE(j,DUMMY_AVAILABILITY_INDEX) = Result.tstat.se;

RSQ(j) = 1 - ((1-Result.rsquare)* (size(NR_INDEX,1)-1) / (size(NR_INDEX,1) - (size(x,2)-1)));

FIT(NR_INDEX,j) = x * BETAS1(j,DUMMY_AVAILABILITY_INDEX)' ;

RESIDUALS(NR_INDEX,j)=y - FIT(NR_INDEX,j); % The residuals

RESIDUALS_PERCENT(NR_INDEX,j)=y ./ FIT(NR_INDEX,j); % The residuals

end

end

otherwise

error('BASE_CASE input should be true or false')

end % end switch

RESULT.beta = nanmean(BETAS1);

RESULT.tstat = nanmean((TSTAT));

RESULT.pval = nanmean(PVAL);

RESULT.se = nanmean(SE);

RESULT.rsq = nanmean(RSQ);

RESULT.FMB_SE = sqrt(nansum(((BETAS1 -

RESULT.beta).^2)/(size(VALUE_INDEX,2)-1))/size(VALUE_INDEX,2)); % =

sqrt(nanstd(BETAS1) / size(VALUE_INDEX,2)))

RESULT.FMB_TSTAT = RESULT.beta ./ RESULT.FMB_SE;

RESULT.BETAS = BETAS1;

RESULT.RSQ = RSQ;

RESULT.TSTAT = TSTAT;

總結

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