FM coefficients, t-stat, and Shanken adjusted t-stat: Intercept and factor risk premia

ans =

    0.0011    0.0046    0.0032    0.0017    0.0018   -0.0073
    1.6371    1.6920    1.5940    0.8914    0.7189   -4.6912
    1.5134    1.6980    1.6077    0.8612    0.6947   -4.7359

R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

gf =

    0.6624

The [5% 95%] interval of R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

ans =

    0.3760    0.8469

