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On Mars

Jeremy-Zhu XiaoruiZhu

On Mars
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mrry /
Last active Sep 28, 2020
[DEPRECATED] TensorFlow on Windows self-check
# Copyright 2015 The TensorFlow Authors. All Rights Reserved.
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
rshowcase / fm
Last active Aug 15, 2020
Fama-MacBeth Entire Procedure
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# In my portfolio, I show how the popular Fama-MacBeth (1973) procedure is constructed in R.
# The procedure is used to estimate risk premia and determine the validity of asset pricing models.
# Google shows that the original paper has currently over 9000 citations (Mar 2015), making the methodology one of the most
# influential papers in asset pricing studies. It's used by thousands of finance students each year, but I'm unable to find a
# complete description of it from the web.
# While the methodology is not statistically too complex (although the different standard errors can get complex),
# it can pose some serious data management challenges to students and researchers.
# The goal of the methodology is to estimate risk premia in the financial markets. While newer, more sophisticated methods for
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