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).
Examples
from openbb import obb
obb.econometrics.panel_fmac(y_column='portfolio_value', x_columns='['risk_free_rate']', data='[{'is_multiindex': True, 'multiindex_names': "['asset_manager', 'time']", 'asset_manager': 'asset_manager_1', 'time': 0, 'portfolio_value': 100000.0, 'risk_free_rate': 0.02}, {'is_multiindex': True, 'multiindex_names': "['asset_manager', 'time']", 'asset_manager': 'asset_manager_1', 'time': 1, 'portfolio_value': 150000.0, 'risk_free_rate': 0.03}, {'is_multiindex': True, 'multiindex_names': "['asset_manager', 'time']", 'asset_manager': 'asset_manager_2', 'time': 0, 'portfolio_value': 150000.0, 'risk_free_rate': 0.03}, {'is_multiindex': True, 'multiindex_names': "['asset_manager', 'time']", 'asset_manager': 'asset_manager_2', 'time': 1, 'portfolio_value': 133333.33, 'risk_free_rate': 0.03}, {'is_multiindex': True, 'multiindex_names': "['asset_manager', 'time']", 'asset_manager': 'asset_manager_3', 'time': 0, 'portfolio_value': 133333.33, 'risk_free_rate': 0.03}, {'is_multiindex': True, 'multiindex_names': "['asset_manager', 'time']", 'asset_manager': 'asset_manager_3', 'time': 1, 'portfolio_value': 125000.0, 'risk_free_rate': 0.03}, {'is_multiindex': True, 'multiindex_names': "['asset_manager', 'time']", 'asset_manager': 'asset_manager_4', 'time': 0, 'portfolio_value': 125000.0, 'risk_free_rate': 0.03}, {'is_multiindex': True, 'multiindex_names': "['asset_manager', 'time']", 'asset_manager': 'asset_manager_4', 'time': 1, 'portfolio_value': 120000.0, 'risk_free_rate': 0.02}, {'is_multiindex': True, 'multiindex_names': "['asset_manager', 'time']", 'asset_manager': 'asset_manager_5', 'time': 0, 'portfolio_value': 120000.0, 'risk_free_rate': 0.02}, {'is_multiindex': True, 'multiindex_names': "['asset_manager', 'time']", 'asset_manager': 'asset_manager_5', 'time': 1, 'portfolio_value': 116666.67, 'risk_free_rate': 0.02}]')
Parameters
- standard
data
: list[openbb_core.provider.abstract.data.Data]
Input dataset.
• Optional: False
y_column
: str
Target column.
• Optional: False
x_columns
: list[str]
list of columns to use as exogenous variables.
• Optional: False
Returns
results
: list[dict]
Serializable results.
provider
: None
Provider name.
warnings
: Optional[list[Warning_]]
list of warnings.
chart
: Optional[Chart]
Chart object.
extra
: dict[str, Any]
Extra info.