XTFMB: Stata module to execute Fama-MacBeth two-step panel regression
Abstractxtfmb is an implementation of the Fama and MacBeth (J. Polit. Econ. 1973) two step procedure. The procedure is as follows: In the first step, for each single time period a cross-sectional regression is performed. Then, in the second step, the final coefficient estimates are obtained as the average of the first step coefficient estimates.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S456786.
Programming language: Stata
Requires: Stata version 9.2
Date of creation: 10 Nov 2006
Date of revision: 26 Sep 2011
Note: This module should be installed from within Stata by typing "ssc install xtfmb". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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