How to augment Fama-French calendar time regression with custom factors?

A user writes: "Hi, I am an Eventus user through WRDS. I want to add a new factor to the Fama-French calendar time regression, and not sure how to do it. ... Thank you!"

Response:

I assume you have noticed the documentation or example about how to use custom factors (the MyFactors= and Factors= options) and are only asking how to combine this approach with the FamaFrench and associated options.

It isn't possible to combine these two sets of options. Instead, you need to build one custom factors data set containing all the factors you want to use at once, both standard Fama-French factors and the new factor you want to add.

You will need to code your own Eventus statements to run on WRDS through PC SAS remote submit or Unix.

Kind regards,

Arnie