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Good day, Please assist. I am attempting to run fama-macbeth regressions with time varying betas. I installed the fmb add-in but upon reading the documentation, I realised that risk premia is estimated using constant OLS beta estimates. Hence the need for manual fama-macbeth estimation. Subsequently...

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Hi, Please may I request some assistance. I am doing a monte carlo simulation which involves multiple fama-macbeth regressions. I dont need any results but the p-value for the fmb each time I run a single simulation i.e. i want to create a vector containing the p-values for every simulation. I am us...