Category: Estimation

Author resource: Jie (Jay) Cao

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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.

Other Estimation techniques
Jones model to estimate earnings management


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