09-29-2012 08:44 AM
I find the attached Fama-Macbeth code from internet. In this case, there is only one explanatory variable. The first part is the original Fama-Macbeth; the second one corrects for Newey -west.
Suppose there are 3 explanatory variables - y z zz
How can I modify the code to test the joint hypothesis that the coefficients of y=z=zz=0?