Fama Macbeth Regression in R

In this video we explain how to perform fama and macbeth regression in R. There are three steps involved in fama macbeth regression. Firstly, we perform Time Series Regression (N Time series Regression), then we Perform Cross-sectional Regression (T cross-sectional regression) and lastly we take the time series average of these coefficients.
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[@Kuntal20052011]

Sir please provide the data set for practice purpose

[@thedatahall]

Thanks for identifying. I have added it in the description.