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Results tagged with paneldata
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user 6858
Panel data are multi-dimensional data involving measurements over time where observations are for the same subjects each time.
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Fama Macbeth and double clustering presents inconsistent results
I have a large unbalanced panel data with 460 firms and 1259 days. The model I would like to run is below
$$
Y_{it} = \beta X_{it} + \alpha Z_{t} + \epsilon_{it}
$$
where $Y_{it}$ is stock return, a …
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