Shanken(1992) correction

2020 11 1
0 个回答
更新时间：2022 9 19
16 次查看（30 天）

0 个投票

Hello everybody
I wonder whether there is a code out there for the Shanken(1992) correction. The Shanken(1992) correction is used in the context of the Fama MacBeth two-stage regression method in order to correct the time-series standart errors (used to calculate the t-statistic) of the cross sectional regression coefficient estimates (the price of risk) for the error-in-variables bias (from the first stage regression). I do not find any code online.
Perhaps somebody has a hint?
Cheers

请先登录，再回答此问题。

回答（0 个）

类别

在 帮助中心 和 File Exchange 中查找有关 Special Functions 的更多信息

产品

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by