An alternative program for Fama-Macbeth regressions
20/11/06 23:15
Daniel Hoechle has also
written an implementation of the Fama and
MacBeth estimation procedure for Stata,
available at SSC. I think it is easier to
install than my implementation and works
better (especially with post estimation
commands). I recommend it unless you need
Newey-West correction, in this case you can use
my programs.
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