Xugan Chen

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icon company Yale University icon location New Haven, CT icon location Finance Ph.D. Student at Yale School of Management

Results 1 issues of Xugan Chen

cast of non-full rank regression in the first-step regression of FamaMacBeth

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I found that in the first-step regression of FamaMacBeth function (i.e. `FamaMacBeth.fit.single` function in line 2755-2761 of model.py), if the `exog` matrix is not full-rank, the coefficients of time-series regression...