panel_fmac

Fama-MacBeth estimator for panel data.

The Fama-MacBeth estimator, a two-step procedure renowned for its application in finance to estimate the risk premiums and evaluate the capital asset pricing model. By first estimating cross-sectional regressions for each time period and then averaging the regression coefficients over time, this method provides insights into the relationship between the dependent variable (y_column) and explanatory variables (x_columns) across different entities (such as individuals, companies, or countries).

Example

from openbb import obb

Parameters

standard

Name	Type	Description	Optional
data	List[Data]	Input dataset.	False
y_column	str	Target column.	False
x_columns	List[str]	List of columns to use as exogenous variables.	False

Returns

OBBject
    results : Dict
        OBBject with the fit model returned

Example​

Parameters​

Returns​

Example

Parameters

Returns