shokru
commented
1 year ago Hello Mandar, in full disclosure I did not open the file. But if you have well-defined betas after the first step and if you have test asset (stock) returns, then, for each POINT IN TIME, when you regress across the betas obtained in the first step, the values of the lambdas (coefficients) should be well defined. Basically, if all inputs are well-defined and have the correct shape/size, there is no reason why you should obtain errors after using the lm(...) function.
Sir, I used the methodology as shown in the book Tidy Finance with R and obtained the Beta. So now how should i do the second step of Fama-Macbeth . I was going through the procedure in the book, and I really aprreciate for the data for replication. But there too for the first step for my data i am able to get the results but for the second step i am getting errors. So here is the attachment based on the work for Beta . I would be eagerly waiting for your reply. thanks Mandar RStudio-EDQhXi.pdf