Concepedia

A Note on the Asymptotic Covariance in Fama‐MacBeth Regression

Ravi Jagannathan, Zhenyu Wang

The Journal of Finance · 1998 · 14 citations · 0 references

Concepts

Social SciencesEconomicsEconometricsGeneralized Linear ModelsInferential StatisticsMaximum Likelihood EstimationStatistical InferenceStructural Equation ModelingAsymptotic TheoryCovarianceCovariance EstimationFama-macbeth RegressionStandardized Residual Covariances