I am attempting to replicate the work from "Individualism and Momentum around the World" (Chui, Titman, Wei, 2010, https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1540-6261.2009.01532.x). In Section VI (Other Determinants of Cross-Country Momentum: Regression Analysis), the author performs a Fama Macbeth regression where the dependent variable is country specific monthly momentum returns and the dependent variables are a combination of static and those that vary over time.enter image description here

The two step Fama Macbeth procedure is confusing me a bit. I already have the monthly momentum returns per country (i.e. stocks returns have already been sorted in winner and loser portfolios etc. and I have the momentum premia now) but I am unsure how to perform the Fama Macbeth regression now given that some variables do not vary over time (an example is the individualism index). Does the fact that I have the monthly momentum portfolio return count as Step 1 in the FM regression?

This research does cover 40+ countries.

Below is a sample of data for the US: I am just not clear on how to even run regression (4) since there is no time variation enter image description here



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