dear R experts---I was programming a fama-macbeth panel regression (a
fama-macbeth regression is essentially T cross-sectional regressions, with
statistics then obtained from the time-series of coefficients), partly
because I wanted faster speed than plm, partly because I wanted some
additional features.
my function starts as
fama.macbeth <- function( formula, din ) {
names <- terms( formula )
## omitted : I want an immediate check that the formula refers to
existing variables in the data frame with English error messages
monthly.regressions <- by( din, as.factor(din$month), function(dd)
coef(lm(model.frame( formula, data=dd )))
as.m <- do.call("rbind", monthly.regressions)
colMeans(as.m) ## or something like this.
}
say my data frame mydata has columns named month, r, laggedx and ... . I
can call this function
fama.macbeth( r ~ laggedx, din=mydata )
but it fails if I want to compute my x variables. for example,
myx <- d[,"laggedx"]
fama.macbeth( r ~ myx)
I also wish that the computed myx still remembered that it was really
laggedx. it's almost as if I should not create a vector myx but a data
frame myx to avoid losing the column name. I wonder why such vectors don't
keep a name attribute of some sort.
there is probably an "R way" of doing this. is there?
/iaw
----
Ivo Welch (ivo.we...@gmail.com)
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