get t-statistic with Shanken (1992) correction in the regression

[Yanni_C]

How to get t-statistic with Shanken (1992) correction in the regression with sas? Thank you very much.

[sbxkoenk]

Hello,

I have moved this question to a more appropriate board (SAS Forecasting and Econometrics).

Why econometrics?
I believe the Shanken (1992) correction is used in the context of the Fama MacBeth two-stage regression method in order to correct the time-series standard 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 would start searching with 
Fama MacBeth SAS
keywords. 

Koen