Weighted FMB Regression

[Timothy Krause]

Hi,

I was wondering if there is a procedure in Stata that can be used or adapted to apply the econometric approach of this paper?

Yoon, H. J., & Lee, K. (2019). A weighted Fama-MacBeth two-step panel regression procedure. Applied Economics Letters, 26(8), 677–683. https://doi.org/10.1080/13504851.2018.1489492

Thanks,

Tim