Hello:

I am a relatively new user of Stata.

I have calculated the firm Betas for the first stage of FAMA MACBETH and created a database in STATA. I want to perform the second stage in STATA. I have 50 companies with 240 time periods of data (Panel Data). At this point can I simply run a XTREG to estimate the coefficients and complete my second stage?

Second piece of the question -> what's my best approach to estimate proper standard errors.

Thanks for your help on this.