XSREG
Contains MATLAB code that performs two-stage regressions (a la Fama/MacBeth) with "correct" standard errors.


REPLICATION_DURABLE
Contains MATLAB code and data that allows to replicate the results in Section 6 of our paper "GMM Weighting Matrices in Cross-sectional Asset Pricing Tests".
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XSReg.zip
(8k)
Julian Thimme,
Nov 24, 2020, 8:27 AM
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replication_durable.7z
(139k)
Julian Thimme,
Aug 6, 2018, 4:50 AM