I have a question regarding the use of the Fama-MacBeth (1973) procedure on panel data.
I am investigating the cross sectional determinants of expected REIT return following the procedure from: Chui, A. C., Titman, S., & Wei, K. C. (2003a). The cross section of expected REIT returns. Real Estate Economics, 31, 451-479.
The equation I am investigating is as follows:
I am aware that the Fama MacBeth procedure accounts for cross correlation between variables but not for time series/ auto correlation.
Now my question is as follows:
By introducing past returns, should I also account for time series correlation for instance by performing the Newey and West (1987) correction for serial correlation and heteroskedastcity?
Thank you in advance for your help and if anything is unclear I will gladly explain.