Hi Professor Attaullah Shah,
I am searching for a way to estimate the GRS test after the first step regression of Fama and MachBeth considering robust standard errors in the models.
In this way I found your package asreg where I can estimate the regressions with the Newey-West standard errors.
So I would like to ask you if there is any way to estimate the GRS test in your package? If not, can you indicate a way to do the GRS test considering the robust standard errors?