I am conducting a financial paper and I need to predict stock returns, so I am using the Fama-French 3 factor model (FF3FM). However, I don't know which regression estimator to use. I have seen Fixed-Effect, GMM, Fama-Macbeth regressors, and I am wondering if there is any that is better than the other. In the original paper, I didn't find any information regarding what kind of regressors they used, only "In the time-series regression" are mentioned, and I am a bit confused as to what this means. Does anyone know what regressor estimator I should use?
Well modern research has brought this model into question so I suggest you investigate that first. After that all regression approaches depend on properties of the DV used. I suggest you Google what regression method should I use. This will give you full details. Best wishes, David Booth
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