code for Fama-Macbeth with Shanken (1989) correction

[YYating LLL]

Hi statalist,

I'm looking for a command to apply fama-macbeth regression with shanken correction.

I find code written and presented in command fm and xtfmb.
fm code is here: http://www.kellogg.northwestern.edu/...rogramming.htm
xtfmb can be found in findit.
But none of it mentioned they applied shanken correction or leaves an option for that.

Is there written code of fm regression with shanken correction? or how to implement it? is it possible to plug it into the written fm code?

thanks a lot! hope you find the answer soon!

[YYating LLL]

Hi,

I found a post regarding the Shanken(1992) correction here:
http://r.789695.n4.nabble.com/Calcul...td4681404.html
unfortunately, the code is written in R.
Anybody knows how to implement it in Stata?

[Francois Durant]

Hi YYting LLL,

I came across your post, I have exactly the same problem. Have you found a solution since then? Thanks!

[Rabab Khamis]

Hi YYting LLL and Francois Durant
Have you found a code that can do FM with Shanken Correction?

[John Hanser]

Same issue here. Anyone with a Shanken Correction module?

[Attaullah Shah]

I have added the Shanken correction to asreg. Though asreg is free, the Shanken correction is a premium feature. You may like to read details here https://fintechprofessor.com/2019/06...n-using-asreg/