Question: Implement a rolling-window regression for the time-series estimation of the factor exposure. Skip one month after each rolling period before including the exposures in the

Implement a rolling-window regression for the time-series estimation of the factor exposure. Skip one month after each rolling period before including the exposures in the cross-sectional regression to avoid a lookahead bias. Then, adapt the cross-sectional regression and compute the average risk premiums.

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