Hi all!
I have a question about the Fama-MacBeth regression from chapter 7.
I do understand the 2-step procedure used for the regression and it’s nice that there is a clear comparison of the manual version with the one calculated using the linearmodels library.
However, I am wondering why would you use the LinearFactorModel class to estimate the Fama-MacBeth regression when there is a class called FamaMacBeth (documentation available here) in the very same library? There might be some nuances I am not aware of, as I have not yet managed to make the FamaMacBeth work, given it uses a different shape of input.
I would be very grateful for an answer 