New answers tagged cross-section
I sent a similar question to the R-help mailing list only a few days ago. Today, I believe to have found an answer. See my post on Nabble: http://r.789695.n4.nabble.com/Calculate-Adjusted-vcov-Matrix-acc-to-Shanken-1992-Generated-Regressor-Problem-td4681404.html My problem was not to include a coefficient of the first regression but the residuals. Still, my ...
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