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Re: st: Fama-MacBeth regression
From
Sami Alameen <[email protected]>
To
[email protected]
Subject
Re: st: Fama-MacBeth regression
Date
Sun, 14 Aug 2011 15:33:44 +0300
Assuming the model is justified:
Just create a lagged dependent variable and include it in the regression
use grunfeld
xtset company year
by company: gen l_invest=invest[_n-1]
xtfmb invest l_invest kstock mvalue
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