topic Re: get t-statistic with Shanken (1992) correction in the regression in SAS Forecasting and Econometrics https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/get-t-statistic-with-Shanken-1992-correction-in-the-regression/m-p/905131#M4757 <P>Hello,</P> <P>&nbsp;</P> <P>I have moved this question to a more appropriate board (SAS Forecasting and Econometrics).</P> <P>&nbsp;</P> <P>Why econometrics?<BR />I believe t<SPAN>he Shanken (1992) correction is used in the context of the Fama MacBeth two-stage regression method in order to correct the time-series standard&nbsp;errors (used to calculate the t-statistic) of the cross-sectional regression coefficient estimates (the price of risk) for the error-in-variables bias (from the first stage regression).</SPAN></P> <P>&nbsp;</P> <P><SPAN>I would start searching with&nbsp;<BR />Fama MacBeth SAS <BR />keywords.&nbsp;<BR /><BR />Koen</SPAN></P> Wed, 29 Nov 2023 08:23:48 GMT sbxkoenk 2023-11-29T08:23:48Z get t-statistic with Shanken (1992) correction in the regression https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/get-t-statistic-with-Shanken-1992-correction-in-the-regression/m-p/905097#M4756 <P><SPAN>How to get&nbsp;<STRONG>t-statistic with Shanken (1992) correction</STRONG> in the regression with sas? Thank you very much.</SPAN></P> Wed, 29 Nov 2023 07:11:36 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/get-t-statistic-with-Shanken-1992-correction-in-the-regression/m-p/905097#M4756 Yanni_C 2023-11-29T07:11:36Z Re: get t-statistic with Shanken (1992) correction in the regression https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/get-t-statistic-with-Shanken-1992-correction-in-the-regression/m-p/905131#M4757 <P>Hello,</P> <P>&nbsp;</P> <P>I have moved this question to a more appropriate board (SAS Forecasting and Econometrics).</P> <P>&nbsp;</P> <P>Why econometrics?<BR />I believe t<SPAN>he Shanken (1992) correction is used in the context of the Fama MacBeth two-stage regression method in order to correct the time-series standard&nbsp;errors (used to calculate the t-statistic) of the cross-sectional regression coefficient estimates (the price of risk) for the error-in-variables bias (from the first stage regression).</SPAN></P> <P>&nbsp;</P> <P><SPAN>I would start searching with&nbsp;<BR />Fama MacBeth SAS <BR />keywords.&nbsp;<BR /><BR />Koen</SPAN></P> Wed, 29 Nov 2023 08:23:48 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/get-t-statistic-with-Shanken-1992-correction-in-the-regression/m-p/905131#M4757 sbxkoenk 2023-11-29T08:23:48Z