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Fama and MacBeth two-step procedure with logit regressions
Fama and MacBeth two-step procedure with logit regressions

Dear members,

Is there a possibility to run a Fama and MacBeth two-step procedure in STATA where logit regressions are run for each time period and then the average of coefficients are obtained with t stats showing their significance?

Thank you in advance!
Best
Jovana

BJ Data Tech Solution

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Fama and MacBeth two-step procedure with logit regressions

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