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XTFMB: Stata module to execute Fama-MacBeth two-step panel regression

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Author Info

  • Daniel Hoechle

    ()
    (University of Basel)

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    Abstract

    xtfmb 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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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtfmb.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtfmb.hlp
    File Function: help file
    Download Restriction: no

    Bibliographic Info

    Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456786.

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    Programming language: Stata
    Requires: Stata version 9.2
    Date of creation: 10 Nov 2006
    Date of revision: 26 Sep 2011
    Handle: RePEc:boc:bocode:s456786

    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
    Phone: 617-552-3670
    Fax: +1-617-552-2308
    Email:
    Web page: http://fmwww.bc.edu/EC/
    More information through EDIRC

    Order Information:
    Web: http://repec.org/docs/ssc.php

    Related research

    Keywords: Fama; MacBeth; cross section regression; Fama-MacBeth procedure;

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