wanglucy81@YAHOO.CO.UK wrote: > >I was reading a post in the SAS-L list suggesting Pasquariello's >modification when using FM regressions in order to overcome its drawbacks. >Has anybody attempted this? If you have any SAS code or any ideas that >would help, please post your reply. > >thank you.

But *does* Pasquariello's modification overcome the serious drawbacks of Fama-MacBeth? I have not seen any evidence that it does. (If you have citations which show this, I'd be interested in seeing them.)

Instead, why don't you use alternative methods which are *known* to work? If you have panel data (as is usually what people have when they resort to FM), then why not use appropriate statistical tools like PROC TSCSREG and PROC PANEL instead?

HTH, David -- David L. Cassell mathematical statistician Design Pathways 3115 NW Norwood Pl. Corvallis OR 97330

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