Fama_MacBeth: Implement the Fama-MacBeth two-step cross-sectional...
In yukai-yang/FE: Data Sets and Functions for the Course "Financial Econometrics"

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/FE documentation built on May 29, 2019, 12:19 p.m.

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