Fama-MacBeth Regression
Posted: Thu Jan 22, 2009 7:31 am
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
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