Fama Macbeth Regression SAS Code
Posted: 03 August 2015 02:55 PM   [ Ignore ]
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Hi,

I am currently running SAS on WRDS using putty/xming.
Is there any code that can run fama macbeth regression using the HML SMB factors using data only from WRDS?

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Posted: 04 August 2015 10:15 AM   [ Ignore ]   [ # 1 ]
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Hi,

Yes, the Fama French factors are on WRDS: https://wrds-web.wharton.upenn.edu/wrds/tools/variable.cfm?library_id=32

Otherwise, you could ftp/scp files onto your WRDS home folder (possibly the temp folders as well—never tried that).

Hope this helps,

Joost

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