Fama-McBeth Regression
Posted: 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
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