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Re: st: Fama-MacBeth regressions


From   "Subhankar Nayak" <nayak@bellsouth.net>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Fama-MacBeth regressions
Date   Tue, 12 Oct 2004 12:24:52 -0400

Thanks for sharing the article by R. Douglas Martin.
It is interesting because I am working on robustness of Fama-Macbeth tests
and the corresponding impact on the tests of CAPM.
I have come across one paper which, using least trimmed squares approach,
gets contradictory results to what FM tests find.

----- Original Message -----
From: "Michael Blasnik" <michael.blasnik@verizon.net>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, October 12, 2004 11:45 AM
Subject: Re: st: Fama-MacBeth regressions


> I was interested in what Fama-Macbeth entailed since I also use often
> "stage-wise" or  "slopes as outcomes" regression analysis in my work
> (instead of multilevel models).  I stumbled upon (via google) an "S-Plus
> Application Notes Series "  article by R. Douglas Martin that indicated
that
> outliers can have a large influence in Fama MacBeth models and robust
> regression (least trimmed squares) was found to lead, in at least one
> example, to opposite conclusions.  You may want to check that article out
> at:
>
> http://www.insightful.com/DocumentsLive/22/14/book-to-market.pdf
>
> Michael Blasnik
> michael.blasnik@verizon.net


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