hello all,
The following question: In which cases is a Fama Mac Beth regression preferable to a fixed effects regression? I have a panel data set that is highly unbalanced.
Additionally: How to calculate the correct number of lags for the Fama Mc Beth regression ; keyword: Newey West?
Thanks in advance and I look forward to your answers!
The following question: In which cases is a Fama Mac Beth regression preferable to a fixed effects regression? I have a panel data set that is highly unbalanced.
Additionally: How to calculate the correct number of lags for the Fama Mc Beth regression ; keyword: Newey West?
Thanks in advance and I look forward to your answers!
