Description Usage Arguments Details Value Author(s)
This function Implement the Fama-MacBeth two-step cross-sectional regressions.
1 | Fama_MacBeth(mZ, vZm)
|
mZ |
matrix of the excess returns for N assets with dimension T by N. |
vZm |
vector of the excess returns for the market portfolio. |
The first pass has been described in EstCAPM
.
The second pass are the regressions
Z_t = γ_{0t} ι + γ_{1t} \hat{β} + η_t
for each time period t, where \hat{β} is the estimated beta from the first pass, and γ_{1t} is the market risk premium.
a list containing the following results:
alpha |
estimated alpha. |
beta |
estimated market beta. |
mE |
matrix of the residuals. |
Sigma |
estimated covariance matrix of the errors. |
gamma_0 |
estimated intercepts in the second pass. |
gamma_1 |
estimated risk premium in the second pass. |
Yukai Yang, yukai.yang@statistik.uu.se
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