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: list[openbb_core.provider.abstract.data.Data]

Input dataset.

• Optional: False

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y_column: str

Target column.

• Optional: False

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x_columns: list[str]

list of columns to use as exogenous variables.

• Optional: False

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Returns

results: list[dict]

Serializable results.

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provider: None

Provider name.

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warnings: Optional[list[Warning_]]

list of warnings.

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chart: Optional[Chart]

Chart object.

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extra: dict[str, Any]

Extra info.

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