Home › Forums › ASREG : Rolling window and Fama-MacBeth Regressions › Use of rolling regression and number of lags

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  • Alice
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    July 18, 2020 at 11:37 pm
    Post count: 118
    #4028

    Hello sir,

    Could you explain why one would use rolling windows in a FMB regression ?

    And how should we determine the number of lags in the regression ?

    Thank you kindly,
    Alice

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