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Re: st: Fama-MacBeth regression


From   Sami Alameen <samialameen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Fama-MacBeth regression
Date   Sun, 14 Aug 2011 15:33:44 +0300

Assuming the model is justified:

Just create a lagged dependent variable and include it in the regression

use grunfeld
xtset company year
by company: gen l_invest=invest[_n-1]

xtfmb invest l_invest kstock mvalue
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