Fama McBeth regression in SAS

Category: Estimation

Author resource: Jie (Jay) Cao

External link: http://ihome.cuhk.edu.hk/~b121456/tools/FF_reg.txt

Explanation

Fama McBeth (1973) regression is used when an entity (firm) has multiple observations in the sample, as is the case for example with panel data. The regression is ran period-by-period (for example year-by-year). The SAS code written by Jie (Jay) Cao reports the coefficients, R-squared, Newey-West t-stats, and level of significance.