I have subsribed to the digest list, so I hope this reply works ;-)
Just wanted to thank you, Brian. Your answer made everything a lot
clearer to me. I keep on looking into the GMM approach, hoping to
simplify things further (right now, I have to write down 25 equations)
and eventually, run a cross-sectional regression (CSR) that includes
both a TSR and then a CSR. If I have any further questions, I probably
ask for your help again, but for now I'm good.
Thanks again,
Christoph
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