<br/></p><p>这个模型是Ferson and Schadt(1996)测量基金业绩的条件测量模型,其中有个Zj,t-1,作者提到“Zj,t-1 is the demeaned value of the lagged macro-economic variable j”。查了半天也不知道这个demeaned value是个啥意思,不知道高人们能否指点一二,先谢过了:)<br/></p>
The first model in Holmes (1999) is specified as: PII*=aEMP*+u* where the asterisk means that the variable is demeaned by its industry average. By demeaning the variables, this specification controls for industry fixed effects.