famamcbeth: Fama-McBeth cross-sectional regression
In bautheac/factorem: factor'em!

Description Usage Arguments Value References

Given two dataframes of assets returns and factors returns respectively, performs a two-pass cross-sectional regression following \insertCitefama1973risk;textualfactorem. The method attempts to test the relationship between assets average return and systematic factor risk.

1	famamcbeth(assets_returns, factor_returns, means)

`assets_returns`	a dataframe with dates in the first column and assets returns in subsequent columns.
`factor_returns`	a dataframe with dates in the first column and factor returns in the second.
`means`	a scalar logical vector. If `TRUE`, the second step of the cross-sectional regression is implemented with asset mean returns. In this setting, tests of significance for the correpsonding lambda coefficients are performed with autocorrelation and heteroskedasticity robust standard errors, following \insertCitenewey1987simple;textualfactorem. If `FALSE`, asset returns are regressed on the corresponding betas for each observation date. The corresponding lambda coefficients are averaged and significance is tested using classic mean t-tests.