Hi all, i'm trying to understand Fama - Macbeth two step regression. I have 10 portfolios and T=5 years. In the first step i compute 10 time series regressions and if i have 2 factors i get 20 betas. How many regression i have to compute in the second step? only 5? and which betas should i use? The average of the betas found in the first step?

Thank you in advance.

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