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
[email protected]
----- Original Message -----
From: "Subhankar Nayak" <[email protected]>
To: <[email protected]>
Sent: Tuesday, October 12, 2004 11:32 AM
Subject: Re: st: Fama-MacBeth regressions
> Fama-Macbeth approach is an innovative two-stage approach meant to
minimize
> within-portfolio variance while capturing the across-portfolio
> characteristics...
> Their 1974 paper is not a landmark in terms of econometric modelling, but
> the approach is nice.
> Their approach is meant to test Capital Asset Pricing Model (CAPM).
>
<snip>
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