FamaMacBeth.jl

Installation

Requirements

Julia 1.0 or higher

Instructions

This package is work-in-progress, and is therefore not registered. To install

] add "https://github.com/zundertj/FamaMacBeth.jl"

Usage

The main function to use is fmb(), which accepts three arguments:

• y: outcome
• X: matrix with explanatory variables
• g: the grouping indicator

using FamaMacBeth

y = rand(100,1)
X = rand(100,3)
g = repeat(collect(1:10),inner=10)
response = fmb(X,y,g)

You can use the functions coef, stderror and others to extract the relevant statistics. The interface follows https://github.com/JuliaStats/StatsBase.jl as much as possible. See the docs for the full API.

References

• Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of political economy, 81(3), 607-636.
• Petersen, M. A. (2009). Estimating standard errors in finance panel data sets: Comparing approaches. The Review of Financial Studies, 22(1), 435-480.