hi,
I have daily data for large number of exchange traded funds for 10 years . I am trying to examine the fund attributes such as expense ratio, size etc .. impact on fund performance. Among the attributes, I have one independent variable that is time-invariant. Can you pls advise on the below -
1. Which model is appropriate in this situation 1. Fama McBeth 2. Fixed Effect or something else (fixed effect throwing collinearity error )
2. I have on lagged dependent variable in the right side - can I use Sys GMM ?
3. Is it possible to use Fama French factor models in this situation to get the risk-adjusted return ?
Any thoughts - greatly appreciated.
Thank you !!
I have daily data for large number of exchange traded funds for 10 years . I am trying to examine the fund attributes such as expense ratio, size etc .. impact on fund performance. Among the attributes, I have one independent variable that is time-invariant. Can you pls advise on the below -
1. Which model is appropriate in this situation 1. Fama McBeth 2. Fixed Effect or something else (fixed effect throwing collinearity error )
2. I have on lagged dependent variable in the right side - can I use Sys GMM ?
3. Is it possible to use Fama French factor models in this situation to get the risk-adjusted return ?
Any thoughts - greatly appreciated.
Thank you !!
