I am trying to replicate Fama-MacBeth regression for the example in the Add in, but I don’t know the code to run OLS corrected for heteroskedasticity and autocorrelation, that is, using Newey-West (HAC) standard errors correction.
Could anybody help me with this?
Thanks in advance.
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- Fri Nov 08, 2013 9:17 pm
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 348891