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I'm adding a new factor to Fama-French three-factor model. I have constructed portfolios and got 18 three-way sorted portfolios. Now, I think I have to do Macbeth procedure to test the model. I'm thinking of doing it on Eviews. I'm new to Eviews. If I get step by step guidance to the procedure, I would be great.

Thanks in advance.

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There many add-ins you could add to your Eviews, see here: http://www.eviews.com/Addins/addins.shtml

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  • $\begingroup$ I have added the add-ins already to the Eviews. But I'm not how to interpret the results. $\endgroup$ Jul 22, 2016 at 15:13

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