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

Daniel Hoechle ()
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Daniel Hoechle: University of Basel

Statistical Software Components from Boston College Department of Economics

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.

Language: Stata
Requires: Stata version 9.2
Keywords: Fama; MacBeth; cross section regression; Fama-MacBeth procedure (search for similar items in EconPapers)
Date: 2006-11-10, Revised 2011-09-26
Note: This module should be installed from within Stata by typing "ssc install xtfmb". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/x/xtfmb.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtfmb.hlp help file (text/plain)

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