Shanken(1992) correction

Hello everybody

I wonder whether there is a code out there for the Shanken(1992) correction. The Shanken(1992) correction is used in the context of the Fama MacBeth two-stage regression method in order to correct the time-series standart 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 do not find any code online.

Perhaps somebody has a hint?

Cheers

[Ricardo Henriquez]

This replication file might help you.

https://www.openicpsr.org/openicpsr/project/112487/version/V1/view?path=/openicpsr/112487/fcr:versions/V1/20070474_data_archive/Programs/shanken.m&type=file