Regression modelPanel regression
法玛-麦克贝回归
法玛-麦克贝程序是一种两步回归方法论，用于在控制时间序列结构的同时分析横截面关系。该方法由Fama和MacBeth（1973）提出，首先估计每个横截面单元的时间序列参数，然后跨横截面将结果回归到这些参数上，并随时间平均结果。这种方法巧妙地将单元内动态与横截面异质性分离开来，并提供对面板结构稳健的标准误。
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来源
- 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 ↗
- 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 ↗
如何引用本页
ScholarGate. (2026, June 3). Fama-MacBeth Two-Step Regression. ScholarGate. https://scholargate.app/zh/econometrics/fama-macbeth-regression
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