Fama E., MacBeth J., Risk, Return, and Equilibrium: Empirical Tests, 1973, Journal of
Political Economy, Vol. 81, Issue 3, pp. 607-636


google搜索下，很多相关内容

The Fama-Macbeth regression is a method used to estimate parameters for asset pricing models such as the Capital asset pricing model (CAPM). The method estimates the betas and risk premia for any risk factors that are expected to determine asset prices. The method works with multiple assets across time (panel data). The parameters are estimated in two steps:

First regress each asset against the proposed risk factors to determine that asset's beta for that risk factor.
Then regress all asset returns for a fixed time period against the estimated betas to determine the risk premium for each factor.

谢谢！请问哪本书上有相应的理论，以及哪本书上有相应的软件解决方法？

stata 用 xtfmb 这个命令。你要看说明也可以先 help xtfmb 一下。

谢谢！我用STATA10，按help xtfmb，却显示相应的帮助文件夹找不到。
请问是否还需要另外加载，如果是的话，命令是什么？