问题描述
有人知道是否有一个程序包可以在R中运行Fama-MacBeth回归并计算标准误差吗?我知道sandwich软件包及其估计Newey-West标准错误的能力，并提供了用于聚类的功能.但是，我还没有看到有关Fama-MacBeth的任何信息.
Does anyone know if there is a package that would run Fama-MacBeth regressions in R and calculate the standard errors? I am aware of the sandwich package and its ability to estimate Newey-West standard errors, as well as providing functions for clustering. However, I have not seen anything with respect to Fama-MacBeth.
推荐答案
plm包可以估计Fama-MacBeth回归和SE.
The plm package can estimate Fama-MacBeth regressions and SEs.
require(foreign)
require(plm)
require(lmtest)
test <- read.dta("http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/test_data.dta")
fpmg <- pmg(y~x, test, index=c("year","firmid")) ##Fama-MacBeth
> ##Fama-MacBeth
> coeftest(fpmg)
t test of coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.031278 0.023356 1.3392 0.1806
x 1.035586 0.033342 31.0599 <2e-16 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
但是请注意，仅当您的数据可以强制为pdata.frame时，此方法才有效. (如果您拥有"duplicate couples (time-id)"，它将失败.)
However note that this method works only if your data can be coerced to a pdata.frame. (It will fail if you have "duplicate couples (time-id)".)
有关更多详细信息，请参见:
For further details see:
这篇关于R中的Fama MacBeth标准错误的文章就介绍到这了，希望我们推荐的答案对大家有所帮助，也希望大家多多支持！