# Not getting coefficient estimates when running a Fama Macbeth Analysis

I am trying to run a Fama Macbeth analysis in R, where I am using the 'pmg' function with the following code:

Fpmg1 <- pmg(ret ~ HML_OBS + SMB + Mktrf + HML, Analysis4_Weighted, index = c("permno"))
summary(Fpmg1)


I currently have 1,354,623 entries and 11 total columns. I get the below output where the estimates for my coefficients are NA.

Mean Groups model

Call:
pmg(formula = ret ~ HML_OBS + SMB + Mktrf + HML, data = Analysis4_Weighted,
index = c("date", "permno"))

Unbalanced Panel: n = 295, T = 3567-6287, N = 1349058

Residuals:
Min.   1st Qu.    Median      Mean   3rd Qu.      Max.
-1.065356 -0.077703 -0.008573  0.000000  0.060437 19.741368

Coefficients:
Estimate Std. Error z-value Pr(>|z|)
(Intercept) 0.0110395  0.0034105   3.237 0.001208 **
HML_OBS            NA         NA      NA       NA
SMB                NA         NA      NA       NA
Mktrf              NA         NA      NA       NA
HML                NA         NA      NA       NA
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Total Sum of Squares: 50764
Residual Sum of Squares: 45906
Multiple R-squared: 0.0957


I have sorted on the following before running the model:

Analysis4_Weighted <-
Analysis4_Weighted %>%
dplyr::filter(!is.na(HML_OBS))

Analysis4_Weighted <-
Analysis4_Weighted %>%
dplyr::filter(!is.na(ret))

Analysis4_Weighted <-
Analysis4_Weighted %>%
group_by(date) %>%
dplyr::filter(n() > 10)


Do you know why I do not get any coefficient estimates?

My data consists of various returns on different stocks in a long time period, and I trying to test the coefficients' ability to predict stock returns over the period across various stocks.

Thank you!

• Hard to say without your data, could you make a reproducible example? Mar 10 '21 at 19:16
• I have exactly the same problem when running a Fama-MacBeth Regression (with 'pmg'). Did you find a solution? Dec 22 '21 at 10:27