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).

Parameters

• standard

data: ForwardRef('Data') | ForwardRef('DataFrame') | ForwardRef('Series') | ForwardRef('ndarray') | dict | list
y_column: str
x_columns: list[str]

---

Returns

results: dict

Serializable results.

provider: str

Provider name.

warnings: Optional[list[Warning_]]

list of warnings.

chart: Optional[Chart]

Chart object.

extra: dict[str, Any]

Extra info.

---