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st: Fama MacBeth module with Shanken standard error correction (FMTEST)
From
"Alexander v. Angerer" <[email protected]>
To
[email protected]
Subject
st: Fama MacBeth module with Shanken standard error correction (FMTEST)
Date
Tue, 5 Apr 2011 15:17:53 +0200 (CEST)
Dear research colleagues,
is anyone of you aware of a module that allows a Fama MacBeth regression with incorporated standard error correction as proposed by Shanken (reference below).
I hope this will help others of you, too!
Best regards,
Alexander
Reference: Shanken J., On the Estimation of Beta-Pricing Models, 1992, Review of Financial Studies, Vol. 5, No. 1, pp. 1-33.
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