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Yanni_C
Fluorite | Level 6

How to get t-statistic with Shanken (1992) correction in the regression with sas? Thank you very much.

1 REPLY 1
sbxkoenk
SAS Super FREQ

Hello,

 

I have moved this question to a more appropriate board (SAS Forecasting and Econometrics).

 

Why econometrics?
I believe the Shanken (1992) correction is used in the context of the Fama MacBeth two-stage regression method in order to correct the time-series standard 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).

 

I would start searching with 
Fama MacBeth SAS
keywords. 

Koen

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