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Nafasi ya Fama-MacBeth

Taratibu za Fama-MacBeth ni mbinu ya urejeshaji wa hatua mbili kwa ajili ya kuchambua mahusiano ya sehemu ya msalaba huku ikidhibiti muundo wa mfululizo wa muda. Imeanzishwa na Fama na MacBeth (1973), kwanza inakadiria vigezo vya mfululizo wa muda kwa kila kitengo cha sehemu ya msalaba, kisha inarejesha matokeo kwa vigezo hivyo katika sehemu ya msalaba, ikikokotoa wastani wa matokeo kwa muda. Mbinu hii hutenganisha kwa ustadi mienendo ya ndani ya kitengo kutoka kwa utofauti wa sehemu ya msalaba na hutoa makosa ya kawaida yanayostahimili muundo wa paneli.

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Vyanzo

  1. Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636. DOI: 10.1086/260061
  2. Shanken, J. (1992). On the estimation of beta-pricing models. Review of Financial Studies, 5(1), 1-33. DOI: 10.1093/rfs/5.1.1

Jinsi ya kunukuu ukurasa huu

ScholarGate. (2026, June 3). Fama-MacBeth Two-Step Regression. ScholarGate. https://scholargate.app/sw/econometrics/fama-macbeth-regression

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Imerejelewa na

ScholarGateFama-MacBeth Regression (Fama-MacBeth Two-Step Regression). Imepatikana 2026-06-15 kutoka https://scholargate.app/sw/econometrics/fama-macbeth-regression · Seti ya data: https://doi.org/10.5281/zenodo.20539026