pmg Robust Standard Errors

I am doing a Fama Macbeth regression, using the pmg function.

model<- pmg(return ~ debt_ratio+ beta + book_market +ROE+ return_t + size,
data, index=c("Year","isin"))

I want to run the model with heteroskedastic robust standard errors.
I run this, but get error:

coeftest(model, vcovHC)

Error in eval(predvars, data, env) : object 'debt_ratio' not found

How do I run the model with robust standard errors?


Not familiar with pmg, but looks like data does not contain a column named debt_ratio. You should check what head(data) gives you.

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