Fama Macbeth Regression in Python (Pandas or Statsmodels)

Question

Econometric Backgroud

Fama Macbeth regression refers to a procedure to run regression for panel data (where there are N different individua

Answer 1

A quick and dirty solution to solve the problem and continue using the same thing you were using.

It worked for me.

def fmreg(data,formula):
    return smf.ols(formula,data=data).fit().params[:]

res = df.groupby('date').apply(fmreg,'ret~var1+var2+var3')