Shanken(1992) correction

2020 11 1
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更新时间：2022 9 19
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Hello everybody
I wonder whether there is a code out there for the Shanken(1992) correction. The Shanken(1992) correction is used in the context of the Fama MacBeth two-stage regression method in order to correct the time-series standart errors (used to calculate the t-statistic) of the cross sectional regression coefficient estimates (the price of risk) for the error-in-variables bias (from the first stage regression). I do not find any code online.
Perhaps somebody has a hint?
Cheers

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