Adjusted R Squared in Fama-MacBeth regression

[Francois Durant]

Hi,

I'm using the "xtfmb" for a Fama-MacBeth regression for which I need to output the adjusted R squared via "outreg2". How can I output the R squared in the outreg2 file? I'm willing to use another Fama-MacBeth package if necessary. Thanks.

webuse grunfeld, clear

tsset company year
xtfmb invest mvalue, lag(1)
outreg2 using "Test", replace ctitle("RX1") dta dec (2) tstat adjr2

Error:

. outreg2 using "Test", replace ctitle("RX1") dta dec (2) tstat adjr2
Adjusted R-squared (e(r2_a)) not defined; cannot use adjr2 option