A note on the asymptotic covariance in Fama-MacBeth regression, Journal of Finance
This note corrects an error in the derivation of a theorem in "The Conditional CAPM and the Cross-Section of Expected Returns," published in the March 1996 issue of the Journal of Finance.
Ravi Jagannathan, Zhenyu Wang
Jagannathan, Ravi, and Zhenyu Wang. 1998. A note on the asymptotic covariance in Fama-MacBeth regression. Journal of Finance. 53(2): 799-801.