The code implements FamaMacbeth regression as in Fama, F. & Macbeth, J.D. (2003) "Risk, Return and Equilibrium: Empirical Tests" Journal of Political Economy Vol 81, No 3, pp. 607-636
Standard errors were tested against Petersen's simulated data for Standard Error testing: https://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/test_data.htm
For more information on dataset and standard errors calculation read: Petersen M. A. (2009) "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches", The Review of Financial Studies, Vol 22, Issue 1, pp 435-480
Example of code usage
from famamacbeth import FamaMacBeth as fm
model = fm(Y, (X1, X2, X3), add_constant = True, yLabel = 'Name of Y',\
xLabel = ['X1 label','X2 label', 'X3 label'])
model.fit(NW = True)
model.summary()