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Keywords: Finite-sample adjustment
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Journal Articles
A weighted Fama-MacBeth two-step panel regression procedure: asymptotic properties, finite-sample adjustment, and performance
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Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2020) 37 (2): 347–360.
Published: 29 May 2020
... First, asymptotic results for the weighted FMB coefficient estimator are provided. Second, a finite-sample-adjusted standard error estimator is provided. Finally, the performance of the adjusted standard error estimator compared to the true standard error is assessed. Findings It is found...
