XTFMB: Stata module to execute Fama-MacBeth two-step panel regression
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.
|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: |
Web page: http://fmwww.bc.edu/EC/
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|Order Information:||Web: http://repec.org/docs/ssc.php|
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