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  • Fama MacBeth regression with Shanken (1992) standard error correction

    Is there a module that allows a Fama MacBeth regression with error in variable correction as proposed by Shanken (1992). Shanken J., On the Estimation of Beta-Pricing Models, 1992, Review of Financial Studies, Vol. 5, No. 1, pp. 1-33. Thanks!

  • #2
    Welcome to Statalist. You didn't get a quick answer. You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex.

    Given that active folks on this list come from many disciplines, referring to a paper in finance imposes a burden on those who might help you (they'll have to find the paper and read it and figure out Shanken's methods). You could start by googling Fama MacBeth Shanken Stata and see what you find. You'll find someone asked the same question a few years ago - you might contact them to see if they can help you. You will also find:

    May I suggest you google the problem before wasting our time?