方法证据记录
Fama-MacBeth Regression
The Fama-MacBeth procedure is a two-step regression methodology for analyzing cross-sectional relationships while controlling for time-series structure. Introduced by Fama and MacBeth (1973), it first estimates time-series parameters for each cross-sectional unit, then regresses outcomes on those parameters across the cross-section, averaging results over time. This approach elegantly separates within-unit dynamics from cross-sectional heterogeneity and provides standard errors robust to panel structure.
源记录
引文逐字复制自方法源记录。这些引文不代表任何层级的验证。
Fama-MacBeth Two-Step Regression
分类方法记录 · regression-model / econometrics
- 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
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