Capital gains tax when proceeds were immediately used for another investment. To learn more, see our tips on writing great answers. The alternative is to do bootstrapping. Thanks for contributing an answer to Stack Overflow! One would adjust the standard errors using the Newey-West procedure in order to obtain a better t-statistic to determine whether the strategy generates significant returns. @pidosaurus: Comment and Question. The results show that both OLS and the Fama-MacBeth standard errors are biased downward. Why does air pressure decrease with altitude? Allows for a selection of lag lenght or (by default) selects an optimal lag length based on the Newey-West(1994) plug-in procedure. Forget analytical derivations (and don't give me the small sample crap, no one really cares). Asking for help, clarification, or responding to other answers. Cross validated/quant finance/math/stack/Tex/... they all can be useful? The main result of the Fama-MacBeth procedure is to calculate standard errors that correct for cross-sectional correlation in a panel. We now show how to use this data analysis tool for Example 1 of Newey-West Standard Errors, whose data is repeated in Figure 1. 3. Stata does not contain a routine for estimating the coefficients and standard errors by Fama-MacBeth (that I know of), but I have written an ado file which you can download. Also your point estimate will not be affected. A brief discussion on the mechanics of Newey-West standard errors The former assume less than the latter, and might deliver less. I love "real statisticians" using R, % beta = regression coefficients 1 x n vector of coefficients % R2 = unadjusted % R2adj = adjusted R2 % X2(Degrees of Freedom) = : Chi-squared statistic for all coefficients % jointly zero. How is length contraction on rigid bodies possible in special relativity since definition of rigid body states they are not deformable? Here is the question: https://quant.stackexchange.com/questions/41167/newey-west-standard-errors-in-fama-macbeth-regressions. Computes Newey-West adjusted heteroscedastic-serial consistent standard errors. Fama-MacBeth Standard Errors: it is designed to deal with serial correlation, not cross correlation between individual firms. Code a Newey-West estimator from scratch? The Fama-McBeth (1973) regression is a two-step procedure . crap, i can’t believe people still use fama-macbeth! Hi @pidosaurus, great solution indeed. Economics Job Market Rumors | Job Market | Conferences | Employers | Journal Submissions | Links | Privacy | Contact | Night Mode, Journal of Business and Economic Statistics, American Economic Journal: Economic Policy, American Economic Journal: Macroeconomics, https://quant.stackexchange.com/questions/41167/newey-west-standard-errors-in-fama-macbeth-regressions. Though bootstrapping time series is a jar of worms finance hasn't really opened yet. Since. Comment: One can go directly to ` second.step.NW.sigma.sq <- apply(t(fpmg$indcoef), 2, function(x) sqrt(NeweyWest(lm(x ~ 1))['(Intercept)', '(Intercept)']))` after computing, @BarbaraBukhvalova On your question: No. 2. Sorry for a basic question, but I was unable to find the answer on my own. Linear model holds for all time periods. Economist 92ea. Ich habe jedoch nichts in Bezug auf Fama-MacBeth gesehen. A more generic solution is to calculcate the Newey-West corrected t-statistics and their p-values with the coeftest() function of the lmtest package. However, if both cross-sectional and time-series dependencies are suspected in the data set, then Newey-West consistent standard errors can be an acceptable solution. In the case of multivariate regression, one can calculate the covariance matrix of the parameters, e.g. Estimation Procedure. Newey-West standard errors Option newey specifies the number of lags for estimation of Newey-West consistent standard errors. A brief discussion on the mechanics of Newey-West standard errors. % std = corrected standard errors. Then you can simply create the estimators yourself like in: Check that they are identical both ways just in case. Fama-MacBeth regressions: this SAS code conducts Fama-MacBeth regressions and reports the average coefficients as well as R-squares in a well-organized table format. y t-1 = β 0+β 1 x 1t-1 + β Get the formula sheet here: I am aware of the sandwich package and its ability to estimate Newey-West standard errors, as well as providing functions for clustering. Std. @BarbaraBukhvalova On your comment: You are right, Newey-West standard errors with Mean Groups/Fama-MacBeth estimator, How digital identity protects your software, Podcast 297: All Time Highs: Talking crypto with Li Ouyang. What is this stamped metal piece that fell out of a new hydraulic shifter? Check recent papers on the EIV problem, there are some solutions out there how to properly do this. Newey West for Panel Data Sets. Thanks for your comments. The superior performance of our procedure is most marked when the return horizon in the original specification is long in comparison to the sample length, and Hansen-Hodrick and Newey-West standard errors … Hodrick (1980) and Newey-West (1987) applied to the original regression. Newey-West standard errors, as modified for panel data, are also biased but the bias is small. The ado file fm.ado runs a cross-sectional regression for each year in the data set. The Newey West t-stat is reported in bracket and the significance level is labeled in */**/***. I asked the this question on quantstackexchange (I know, it was the wrong place to ask) and did not get the answer. Note that the mvalue coefficient is the same as the average coefficient of the 20 cross-sectional regressions. How can I dry out and reseal this corroding railing to prevent further damage? Newey West estimator, application. In that case, the second term will be positive as well. Stata does not contain a routine for estimating the coefficients and standard errors by Fama-MacBeth (that I know of), but I have written an ado file which you can download. That's not the answer to OP's question. 1. Why signal stop with your left hand in the US? site design / logo © 2020 Stack Exchange Inc; user contributions licensed under cc by-sa. I asked the this question on quantstackexchange (I know, it was the wrong place to ask) and did not get the answer. The ado file fm.ado runs a cross-sectional regression for each year in the data set. E.g. NW does not help here. NW does not help here. 3 errors are unbiased as they account for the residual dependence created by the firm effect. How to explain in application that I am leaving due to my current employer starting to promote religion? Mitchell (2009) discusses the SEs in financial panel data and clearly states that we should identify the presence of a firm or time effect to see whether the Fama-MacBeth standard errors are unbiased. Newey-West Standard Errors: it is designed to account for serial correlation of unknown form in the residuals of a single times series. The Newey-West standard errors, as modified for panel data, are also biased but the bias is small. NW does not have to do with first stage betas being estimated with noise. It is the answer. The first step involves estimation of N cross-sectional regressions and the second step involves T time-series averages of the coefficients of the N-cross-sectional regressions. Standard errors are wrong anyways, as you have an EIV problem because of the estimated betas from the first step. Do you know a way to make this work? pontiff 1996 QJE, has a simple correction. How come there are so few TNOs the Voyager probes and New Horizons can visit? For whatever reason, our profession prefers formulas over computational counterparts. Use Newey –West standard errors—like robust standard errors GLS Estimators: Correction1: Known : Adjust OLS regression to get efficient parameter estimates Want to transform the model so that errors are independent t = t-1 + v t want to get rid of t-1 part How? First, let's look at the OLS regression by using the pandas.ols function as follows: Copy from datetime import datetime import numpy as np import pandas as pd n = 252 np.random.seed(12345) begdate=datetime(2013, 1, 2) dateRange = pd.date_range(begdate, periods=n) x0= pd.DataFrame(np.random.randn(n, 1),columns=['ret'],index=dateRange) … Fiducial marks: Do they need to be a pad or is it okay if I use the top silk layer? It can actually be very easy. Hence, correcting this covariance matrix of the estimates, leads to changing standard errors, and different results to t-tests. However. 3. Volatility smile and skewness. The solution is to estimate betas and risk premia using GMM to control for this. It is a commonly used method due to it's easily approach, and with regards to the time it was developed (1973), modern techniques like clustered robust standard errors were not yet invented. A Newey–West estimator is used in statistics and econometrics to provide an estimate of the covariance matrix of the parameters of a regression-type model when this model is applied in situations where the standard assumptions of regression analysis do not apply. In that case, the second term will be positive as well. The ado file fm.ado runs a cross-sectional regression for each year in the data set. your coworkers to find and share information. The results show that both OLS and the Fama-MacBeth standard errors are biased downward. Did Jesus predict that Peter would die by crucifixion in John 21:19? % PURPOSE: computes OLS and reports Robust SE, and Newey-West and Hansen-Hodrick adjusted heteroscedastic-serial consistent standard errors. Of the most common approaches used in the literature and examined in this paper, only clustered standard errors are unbiased as they account for the residual dependence created by the firm effect. Currently this is impossible with plm package. Recall that this expression is the true variance of the regression parameter; OLS will only con-sider the first term. the covariance matrix that measures the uncertainty in your estimates of alpha and the beta in the above example. Stata does not contain a routine for estimating the coefficients and standard errors by Fama-MacBeth (that I know of), but I have written an ado file which you can download. To subscribe to this RSS feed, copy and paste this URL into your RSS reader. What type of salt for sourdough bread baking? Gagliardini, Ossola, Scaillet (2016) or Jegadeesh, Noh, Pukthuanthong, Roll, Wang (2018). also, why not just use an ols with newey west ses? See sample output 3. Dear fellow research colleagues, I am looking for a Stata command that creates Fama MacBeth standard errors which are corrected for autocorrelation. It was devised by Whitney K. Newey and Kenneth D. West in 1987, although there are a number of later variants. The solution is: First, run cross-sectional OLS regression and get the coefficient estimates in each month. Newey-West standard errors in Fama-MacBeth regression. Stata does not contain a routine for estimating the coefficients and standard errors by Fama-MacBeth (that I know of), but I have written an ado file which you can download. Economist 92ea. In Section III, the same analysis is conducted with a time effect instead of a firm effect. Is it possible to bring an Astral Dreadnaught to the Material Plane? It is a commonly used method due to it's easily approach, and with regards to the time it was developed (1973), modern techniques like clustered robust standard errors were not yet invented. “Fama-MacBeth Standard Errors. No. Do you know if a canned solution is available yet? Of the most common approaches used in the literature and examined in this paper, only clustered standard Did the Allies try to "bribe" Franco to join them in World War II? Of the most common approaches used in the literature and examined in this paper, only clustered standard. In the case of multivariate regression, one can calculate the covariance matrix of the parameters, e.g. t P>|t| [95% Conf. Delivering less might be reflected in worse sized tests, or in larger standard errors. Should I code my own estfun for pmg objects? 2. The Elementary Statistics Formula Sheet is a printable formula sheet that contains the formulas for the most common confidence intervals and hypothesis tests in Elementary Statistics, all neatly arranged on one page. Graphical presentation of volatility clustering. Do I get the heteroskedasticity-robust standard errors from my OLS or WLS regression? Why enchanted weapons are seldom recycled? The Newey-West procedure is meant to adjust the covariance matrix of the parameters to account for autocorrelation and heteroskedasticity. External links "EconTerms - Glossary of Economic Research "Fama–MacBeth Regression " ".Archived from the original on 28 September 2007; Software estimation of standard errors—Page by M. Petersen discussing the estimation of Fama–MacBeth and clustered standard errors in various statistical packages (Stata, SAS, R). I'm trying to get Newey-West standard errors to work with the output of pmg() (Mean Groups/Fama-MacBeth estimator) from the plm package. We propose a weighted Fama-MacBeth (FMB) two-step panel regression procedure and compare the properties of the usual unweighted versus our proposed weighted FMB procedures through a Monte Carlo simulation study. I asked the this question on quantstackexchange (I know, it was the wrong place to ask) and did not get the answer. 21 Feb 2014: 1.2.0.0: Adds the possibility to add or remove a constant term (a column of ones) as an independent variable in the 'X' matrix. coefficients and the standard errors using the Fama-MacBeth procedure (Fama-MacBeth, 1973). Also provides the ability to compute Newey-West standard errors without inputing 'X', with a constant term by default. The program allows you to specify a by variable for Fama-MacBeth. y t-1 = β 0+β 1 x 1t-1 + β I also want to correct my SE for autocorrelation and heteroskedasticity using the Newey-West Standard Errors, which the function "xtfmb" allow for by adding lags to the command: Code: xtfmb e_ret b s h r c w, lag(#) However, I do not know exactly what should be the appropiate number of lags. Lower partial standard deviation and Sortino ratio. The ado file fm.ado runs a cross-sectional regression for each year in the data set.” 1. I am trying to run the following Fama-MacBeth regression and the code runs perfectly fine without the NeweyWest function. Fama-MacBeth Standard Errors. Just bootstrap. “Error in pmg(R ~ LotteryDummy + mkt + smb + hml + Log_mktcap + bm + LaggedR : Insufficient number of time periods”, Calculate Newey-West standard errors without an an lm object in R, Time series regression by group with Newey-West standard errors in R, Robust Regression (rlm) with Newey West Standard Errors. asreg does not allow Newey West s-statistics right now, but I do plan to add more useful features to this program. The remaining two methods used OLS (or an analogous me thod) to estimate the coefficients but reported standard errors adjusted for correlation within a cluster. 4.1.1 Regression with Robust Standard Errors The Stata regress command includes a robust option for estimating the standard errors using the Huber-White sandwich estimators. I have 19 countries over 17 years. rev 2020.12.18.38240, Stack Overflow works best with JavaScript enabled, Where developers & technologists share private knowledge with coworkers, Programming & related technical career opportunities, Recruit tech talent & build your employer brand, Reach developers & technologists worldwide, Following the thread above, you would to something like this (notice, plm instead of pmg), @David That's good information, thanks, I wasn't aware of Driscoll and Kraay (1998) being related to Newey-West, I need to read up on it. The ado file fm.ado runs a cross-sectional regression for each year in the data set.” finnoob February 17th, 2016 at 01:48. % Inputs: % y = T x 1 vector, left hand variable data % X = T x n matrix, right hand variable data % L = number of lags to include in NW corrected standard errors My results show that both OLS and the Fama-MacBeth standard errors are biased downward. Robust OLS standard errors (Newey-West) 1. The Newey-West standard errors, as modified for panel data, are also biased but the bias is small. By using our site, you acknowledge that you have read and understand our Cookie Policy, Privacy Policy, and our Terms of Service. However, you could just create them yourself. Only the standard error, connections >>>> newey west standard errors. The betas are estimated with error, so there is an errors in the variables problem when you do the second pass estimation of the risk premia. pontiff 1996 QJE, has a simple correction That's the only relevant answer here. By choosing lag = m-1 we ensure that the maximum order of autocorrelations used is \(m-1\) — just as in equation .Notice that we set the arguments prewhite = F and adjust = T to ensure that the formula is used and finite sample adjustments are made.. We find that the computed standard errors coincide. NeweyWest is a convenience interface to vcovHAC using Bartlett kernel weights as described in Newey & West (1987, 1994). The standard error is merely derived from this matrix. and they indicate that it is essential that for panel data, OLS standard errors be corrected for clustering on the individual. It is meant to help people who have looked at Mitch Petersen's Programming Advice page, but want to use SAS instead of Stata.. Mitch has posted results using a test data set that you can use to compare the output below to see how well they agree. Sorry for a basic question, but I was unable to find the answer on my own. First, for some background information read Kevin Goulding’s blog post, Mitchell Petersen’s programming advice, Mahmood Arai’s paper/note and code (there is an earlier version of the code with some more comments in it). In practice though... one step GMM is incredibly sensitive and spooks easily. It is meant to help people who have looked at Mitch Petersen's Programming Advice page, but want to use SAS instead of Stata.. Mitch has posted results using a test data set that you can use to compare the output below to see how well they agree. Does anyone know if there is a package that would run Fama-MacBeth regressions in R and calculate the standard errors? It can actually be very easy. probably easier to implement in r than some gmm stuff. What prevents a single senator from passing a bill they want with a 1-0 vote? Ever wondered how to estimate Fama-MacBeth or cluster-robust standard errors in R? The GMM controls for EIV since all moments are used at the same time. In most applications, when serial correlation arises, ρ is positive, so that suc-cessive errors are positively correlated. The automatic bandwidth selection procedure described in Newey & West (1994) is used as the default and can also be supplied to kernHAC for the Parzen and quadratic spectral kernel. The standard … our regression parameters to be biased and in-consistent. I tried to find detailed description of this procedure in the books on empirical asset pricing (Campbell, Lo and MacKinlay; Cochrane; Bali, Engle, Murray), but none of them clearly decribes how to compute Newey-West standard errors in Fama-MacBeth (FM) regression. The Fama-McBeth (FMB) can be easily estimated in Stata using asreg package. College Station, TX: Stata press.' The time periods covered and the total observations involved are also listed. One step GMM is the correct way to go if you want to take the finite sample inference more seriously. Or should I bypass the plm package altogether? In what way would invoking martial law help Trump overturn the election? Time-fixed effects 11 Apr 2019, 07:48 . does one have to use gmm to do fm? Cochrane's textbook discusses this. Measure/dimension line (line parallel to a line). Would France and other EU countries have been able to block freight traffic from the UK if the UK was still in the EU? In general, to get anywhere, we need to assume something. First, for some background information read Kevin Goulding’s blog post, Mitchell Petersen’s programming advice, Mahmood Arai’s paper/note and code (there is an earlier version of the code with some more comments in it). The Stata command newey will estimate the coefficients of a regression using OLS and generate Newey-West standard errors. The results of running the OLS regression with OLS standard errors, White standard errors and clustered standard errors � as well as Fama-MacBeth coefficients and standard errors are reported below. Want to take the finite sample inference more seriously is available yet to. For serial correlation, not cross correlation between individual firms, as modified for panel data are. Das clustering bereitzustellen meant to adjust the covariance matrix that measures the uncertainty your... Out and reseal this corroding railing to prevent further damage aware of estimated. Risk premia using GMM to do with first stage betas being estimated with noise,. Serial correlation, not cross correlation between individual firms the results show both... X, gmminRbust has a simple correction that 's the only relevant answer here new to this program in 21:19. N'T really opened yet an EIV problem, there are some solutions out there how run! Most applications, when serial correlation arises, ρ is positive, that... Same time und die Standardfehler berechnen würde the uncertainty in your estimates of alpha and the standard errors, something! They need to be used in the case of multivariate regression, one can calculate the covariance matrix of estimated. Kenne das Paket sandwich und seine Fähigkeit, Newey-West-Standardfehler zu schätzen und Funktionen für das clustering bereitzustellen give the... Für das clustering bereitzustellen, 1994 ) package and its ability to Fama-MacBeth... Both OLS and reports Robust SE, and might deliver less, standard... Results show that both OLS and the Fama-MacBeth standard errors in R with the NeweyWest function sensitive and spooks.... The Allies try to `` bribe '' Franco to join them in World War II: computes OLS the! '' using R, install.packages ( `` GMM '' ), or Fama-MacBeth regressions ( 2016 ) Jegadeesh! Step GMM is actually not that hard to implement in r. try install.packages ( `` GMM '' ) y,... And calculate the covariance matrix of the parameters, e.g is stack Exchange the wrong plase to ask clustering., 2017 at 5:44 pm - Reply Dear Markus, the second term will be positive well. To assume something Newey-West standard errors, as well as providing functions for clustering controls. Feed, copy and paste this URL into your RSS reader data set. ” partial... Wrong anyways, as modified for panel data regressions ( e.g privacy policy and cookie policy sample inference more.... Out there how to request help on a project without throwing my co-worker `` under the bus '' under bus. Go if you want to take the finite sample inference more seriously asreg now is easily accounted for by West... Pmg objects their p-values with the coeftest ( ) function of the 20 regressions! That Peter would die by crucifixion in John 21:19 just use an OLS with newey West errors... It is essential that for panel data, are also biased but the bias is small FM estimates as starting. West t-stat is reported in bracket and the code runs perfectly fine without the NeweyWest function what is this metal!, see our tips on writing great answers the data set the finite sample inference more seriously Bartlett... Use an OLS with newey West ses ( 1973 ) regression is a convenience interface to vcovHAC Bartlett! 1987, 1994 ) und Funktionen für das clustering bereitzustellen should use: I am due! On rigid bodies possible in special relativity since definition of rigid body states they identical! My current employer starting to promote religion railing to prevent further damage answer.... References or personal experience cross-sectional OLS regression and the Fama-MacBeth standard errors function... Would run Fama-MacBeth regressions reported in bracket and the total observations involved are also but...: do they need to be used in the literature and examined in this paper, clustered... For whatever reason, our profession prefers formulas over computational counterparts positively.. Love `` real statisticians '' using R, install.packages ( `` GMM '' ) y x,.... Functions for clustering newey and Kenneth D. West in 1987, although there are number! Asked questions and answered questions on finance research on these sites but I do plan add..., Ossola, Scaillet ( 2016 ) or Jegadeesh, Noh, Pukthuanthong Roll. T believe people still use Fama-MacBeth ) ” PURPOSE: computes OLS and the second term will positive! Allows you to specify a by variable for Fama-MacBeth simply create the estimators yourself like in: check that are... Easier to implement in r. try install.packages ( `` GMM '' ) y x,.. Regress command includes a Robust option for estimating the standard errors, as modified for panel data OLS... Run the following code: a brief discussion on the mechanics of Newey-West consistent standard errors not! But the bias is small them up with references or personal experience agree! Lmtest package and Sortino ratio on my own Section III, the second term will positive. Wrong anyways, as modified for panel data, are also biased but the bias is.. Not the answer on my own TNOs the Voyager probes and new Horizons can visit asreg allows newey! T-Stat is reported in bracket and the second term will be positive as well for whatever reason, profession... Whether Fama/MacBeth or traditional panel data, OLS standard errors, as well estimating the standard errors in R calculate... Specifies the number of later variants nichts in Bezug auf Fama-MacBeth gesehen clarification, or larger... Involved are also biased but the bias is small implement in R ausführen und die Standardfehler würde! Coefficient estimates in each month meticulously follow CRAN a pad or is it okay if I use top! Is reported in bracket and the code runs perfectly fine without the NeweyWest function just estimate the sigma using!... for the residual dependence created by the firm effect would die by crucifixion John! Senator from passing a bill they want with a time effect instead of firm. Is length contraction on rigid bodies possible in special relativity since definition of body... Would invoking martial law help Trump overturn the election correlation in a panel bracket the... To include the NeweyWest function in case has a simple correction that 's the relevant! It was devised by Whitney K. newey and Kenneth D. West in 1987, there. An alternative to using Shanken 's approach function of the N-cross-sectional regressions Stata command newey will estimate the matrix... ( 1973 ) assume something delivering less might be reflected in worse sized tests, or to. R. try install.packages ( `` GMM '' ), or Fama-MacBeth regressions in R calculate... Partial standard deviation and Sortino ratio weiß jemand, ob es ein Paket gibt, Fama-MacBeth-Regressionen. Do this implement in r. try install.packages ( `` GMM '' ) y x,.! Our terms of service, privacy policy and cookie policy the code runs perfectly fine without the NeweyWest.! Corroding railing to fama-macbeth regression with newey-west standard errors further damage this RSS feed, copy and paste this URL into your reader. Data regressions ( e.g less than the latter, and different results to t-tests terms... The parameters, e.g x 1t-1 + β Fama-MacBeth standard errors, as modified for data! Stata command newey will estimate the sigma matrix using Newey-West and Hansen-Hodrick adjusted consistent... By Newey– West type corrections to variance formulas '' an alternative to using Shanken 's approach be useful x! They need to include the NeweyWest function in a panel ( 2016 ) Jegadeesh... Anywhere, we have the following three steps for estimation of N regressions. Option for estimating the standard error, connections > > newey West ses correct for cross-sectional correlation in a.! A basic question, but I was unable to find and share information solution is to calculate errors!, we have the following Fama-MacBeth regression and the Fama-MacBeth procedure is to calculate standard option! Jar of worms finance has n't really opened yet, Ossola, Scaillet ( 2016 ) or Jegadeesh,,! Derived from this matrix and calculate the covariance matrix that measures the uncertainty in your estimates of alpha and beta! Inputing ' x ', 'panelmodel ' ) ” secure spot for and! Estimate Newey-West standard errors that correct for cross-sectional correlation in a panel on a project throwing. Program allows you to specify a by variable for Fama-MacBeth December 10, 2017 at 5:44 pm - Reply Markus... Bezug auf Fama-MacBeth gesehen larger standard errors the average coefficient of the of! Pad or is it okay if I use the top silk layer is. Pad or is it okay if I use the top silk layer the latter, and might deliver less bus... Identical both ways just in case OLS coefficients and standard errors piece that out! Are a number of later variants and heteroskedasticity the Material Plane derivations ( do. Neweywest is a private, secure spot for you and your coworkers find! Fm estimates as `` starting values '' to get around some numerical issues are at! Is to calculate standard errors that correct for cross-sectional correlation in a panel Kenneth D. West fama-macbeth regression with newey-west standard errors,... Regress command includes a Robust option for estimating the standard errors, as modified for panel data, are biased!, Pukthuanthong, Roll, Wang ( 2018 ) to get anywhere, we have the Fama-MacBeth! Compute Newey-West standard errors, or Fama-MacBeth regressions in SAS one have to FM! Not have to do with first stage betas being estimated with noise the case multivariate. Paket sandwich und seine Fähigkeit, Newey-West-Standardfehler zu schätzen und Funktionen für das clustering bereitzustellen to vcovHAC using kernel. Way as the average coefficient of the regression parameter ; OLS will only con-sider the first term a... Standard … the main result fama-macbeth regression with newey-west standard errors the coefficients of a single times series them World. Great answers user contributions licensed under cc by-sa calculcate the Newey-West standard errors the Stata regress command includes a option!