Fama Macbeth Regression in Stata
Fama and Macbeth (1973) introduced a methodology that is widely used in the field of finance and corporate finance, especially asset pricing models. This methodology (called Fama Macbeth regression) contains three steps. Firstly we perform Time series regression to obtain.
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00:00 Intro to Fama Macbeth Regression
1:14 Fama Macbeth Procedure
5:19 Using statsby Command
11:58 Using asreg Command
16:06 Omitted Variables (Crossectional Invarient Regressor)
17:25 Newey-West Corrected Standard Errors
18:23 Using xtfmb Command
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