Fama-McBeth Regression

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CFWFR
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Joined: Mon Aug 24, 2009 6:10 am

Fama-McBeth Regression

Postby CFWFR » Mon Aug 24, 2009 7:29 am

Hallo everybody,
for my final thesis i need to undertake a Fama McBeth regression. Unluckily, i do not know how to implement it. In total I have two mutual fund samples (returns) and 3 independent variables. I have the values for the independent variables, but have a problem how to get the dependent variable and furthermore, I do not really know how to put the numbers correctly in eviews.

Can somebody help me or suggest literature where it is explained?

Thx a lot in advance
CFWR

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