st: Fama - Macbeth implementation

[Enrico Deabate <enrico.deabate@gmail.com>]

Dear Statlisters,

I am currently running a Fama Macbeth regression using the built in program -xtfmb– on 5 variables for 13 years of time with quarterly data.

I would like to add, at the time series step of the regression, a yield spread variable that is fixed over the cross-section, without having it dropped because of it is obviously constant in the cross-section.

Is it possible?

How can I perform this regression?

Thank you very much,

Best,

Enrico