Timeline for Fama MacBeth regression standard errors: sampling variations in the first stage
Current License: CC BY-SA 4.0
4 events
| when toggle format | what | by | license | comment | |
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| Feb 20, 2022 at 20:11 | comment | added | fes | Isn't sampling variation implicitly accounted for in the formula as this affects variability of the estimates? I don't remember 2SLS too well though and this is not necessarily the most efficient estimation approach. Your formula assumes that lambda estimates are uncorrelated in time, otherwise these autocorrelations would appear in the standard error formula. | |
| Feb 18, 2022 at 23:04 | history | edited | keepfrog | CC BY-SA 4.0 |
added 5 characters in body
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| S Jan 23, 2022 at 21:54 | review | First questions | |||
| Jan 23, 2022 at 22:04 | |||||
| S Jan 23, 2022 at 21:54 | history | asked | keepfrog | CC BY-SA 4.0 |