Fama-MacBeth regression

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EViews Rebecca
EViews Developer
Posts: 89
Joined: Thu Apr 18, 2013 8:37 am

Re: Fama-MacBeth regression

Postby EViews Rebecca » Mon Jul 10, 2017 11:41 am

This is a frequency conversion/interpolation problem. EViews has several procedures for doing this: see here and here.

amin3kk
Posts: 2
Joined: Sun Jul 09, 2017 3:50 pm

Re: Fama-MacBeth regression

Postby amin3kk » Tue Jul 11, 2017 1:24 pm

you mean in every research we have this problem? because in all researches in this area, balance sheet data are annual but return data are monthly.

EViews Rebecca
EViews Developer
Posts: 89
Joined: Thu Apr 18, 2013 8:37 am

Re: Fama-MacBeth regression

Postby EViews Rebecca » Tue Jul 11, 2017 2:55 pm

The question you asked is about frequency conversion/interpolation, not Fama-MacBeth.


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