Fama Macbeth regression and Newey West correction

[VJ13]

Hello, I have a SAS program and I need to change it. I do not need anything therein from ARIMA onwards. ARIMA and thereafter needs to be removed and instead of that Fama Macbeth regression technique followed by Newey West correction needs to be integrated into the program. I attach my SAS program, macros on Fama Macbeth regression and Newey West correction and datasets. I have links to Newey West correction . One of the raw data files is too large and cannot be posted. I can share it on email.

http://jeffreyhoopes.com/nader /Fama_MacBeth_Macro.sas

Clustering, Fixed Effects, and Fama-MacBeth in SAS