Fama-MacBeth Regression

[msr]

Hi!

In empirical corporate finance people often apply the
Fama-MacBeth regression analysis.

I have two questions on that:

1) Does anybody know of a really good textbook reference?
(Petersen (2008, Review of Financial Studies) does a nice job
on describing the asymptotic variance of the approach.)

2) How to implement the method in eviews? Is there any build-in
function available? Did anybody implement the method (in a
program or something similar) and is willing to share her/his
experience?

All comments are appreciated!

Best regards...msr

[msr]

Hi all!

I am still lost with my problem....

Any help is highly appreciated!

Best...msr

[rajamohsin]

Hi, i know the codes are available for SAS but not sure about Eviews.