Fama-MacBeth t值的置信区间

1. %macro regby(dset=,byvar=,yvar=,xvars=,minobs=0,print_est=yes,print_r2=yes,indformat=);
   
2. 
   
3. %if &indformat ne
   
4.    %then %let prntfmt = format &indformat indfmt.;
   
5.    %else %let prntfmt = ;
   
6.    
   
7. proc sort data=&dset out=xdset;
   
8.     by &byvar;
   
9.     run;
   
10. 
    
11. ods listing close;
    
12. ods output ParameterEstimates = xpe(drop=DF Dependent Model);
    
13. ods output FitStatistics = xr2;
    
14. ods output ANOVA = xanova;
    
15. proc reg data=xdset;
    
16.     by &byvar;
    
17.     model &yvar = &xvars;
    
18.     run;
    
19. ods output close;
    
20. ods listing;
    
21. 
    
22. data xpeprint;
    
23.     set xpe;
    
24.     where substr(Variable,1,3) not in ('Int', 'dy_', 'di_');
    
25.     run;
    
26. 
    
27. proc sort data=xpeprint;
    
28.     by Variable &byvar;
    
29.     run;
    
30.    
    
31. %if &print_est = 'yes' %then %do;
    
32.     proc print data=xpeprint;
    
33.         &prntfmt;
    
34.         run;
    
35. %end;
    
36. 
    
37. data xanova;
    
38.     set xanova;
    
39.     where Source = 'Corrected Total';
    
40.     nobs = DF + 1;
    
41.     keep &byvar nobs;
    
42.     run;
    
43. 
    
44. data xpe (drop = &byvar nobs);
    
45.     merge xanova xpe (drop = Probt StdErr);
    
46.     by &byvar;
    
47.     if nobs ge &minobs;
    
48.     z1temp = tValue / sqrt((nobs-1)/(nobs-3));
    
49.     run;
    
50. 
    
51. proc sort data=xpe;
    
52.     by Variable;
    
53.     run;
    
54. 
    
55. proc means data=xpe(keep = Variable z1temp) noprint;
    
56.     by Variable;
    
57.     output out=xmeans1(drop=_:) sum=;
    
58.     run;
    
59. 
    
60. proc means data=xpe noprint;
    
61.     by Variable;
    
62.     var Estimate tValue;
    
63.     output out=xmeans2(drop=_type_ rename=(_freq_=n))
    
64.            mean   =meanEst   meant
    
65.            median =medianEst mediant
    
66.            stddev =stdEst    stdt;
    
67.     run;
    
68. 
    
69. data xpe;
    
70.     set xpe (rename = (Estimate = estPos tValue = tSigPos));
    
71.     tSigNeg = tSigPos;
    
72.     if estPos  <  0.00 then estPos  = .;
    
73.     if tSigPos <  1.65 then tSigPos = .;
    
74.     if tSigNeg > -1.65 then tSigNeg = .;
    
75.     drop z1temp;
    
76.     run;
    
77. 
    
78. proc means data=xpe noprint;
    
79.     by Variable;
    
80.     output out=xmeans3 n=;
    
81.     run;
    
82. 
    
83. data xr2;
    
84.     set xr2(rename=(nValue2=adjr2));
    
85.     where Label2 = 'Adj R-Sq';
    
86.     keep &byvar adjr2;
    
87.     run;
    
88. 
    
89. data xother;
    
90.     merge xanova xr2;
    
91.     by &byvar;
    
92.     run;
    
93. 
    
94. %if &print_r2 = 'yes' %then %do;
    
95.     proc print data=xother;
    
96.         &prntfmt;
    
97.         run;
    
98. %end;
    
99. 
    
100. proc means data=xother noprint;
     
101.     var nobs adjr2;
     
102.     output out=xmeans4(drop=_:) mean=;
     
103.     run;
     
104. 
     
105. proc transpose data=xmeans4 out=xmeans4(rename=(_name_=Variable COL1=meanEst));
     
106.     run;
     
107. 
     
108. data xout;
     
109.     merge xmeans1 xmeans2 xmeans3;
     
110.     by Variable;
     
111.     run;
     
112. 
     
113. data xout;
     
114.     set xout xmeans4;
     
115.     fmt = meanEst * sqrt(n-1) / stdEst;
     
116.     z1 = z1temp / sqrt(n);
     
117.     z2 = meant * sqrt(n-1) / stdt;
     
118.     estNeg = n - estPos;
     
119.     run;
     
120. 
     
121. proc print data=xout noobs round;
     
122.     var Variable n meanEst medianEst estPos estNeg meant mediant tSigPos tSigNeg fmt z1 z2;
     
123.     run;
     
124. 
     
125. %mend;

复制代码

我在网上找了一个Fama-MacBeth回归的程序，请问Fama-MacBeth t值（fmt）的置信区间要怎么求？