fmreg_: Advanced Fama-MacBeth regression.
In max-sokolov/fmreg: Fama-MacBeth Regression

fmreg_ estimates Fama-MacBeth regressions on many specifications "in parallel".

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fmreg_(.data, models, dates, date_var, load_data = NULL,
  prepare_data = NULL, estimate = NULL, aggregate = NULL,
  progress = FALSE)

`.data`	"Data frame - like" structure. `.data` can be a data frame, a data table, or a tibble, including a "connection" to a out-of-memory database.
`models`	A list of models. Each model specifies the model to be estimated.
`dates`	A vector of dates that are included in the estimation of the regression.
`date_var`	Name of the date variable (should be a colname in `.data`).
`load_data`	Function of the form function(.data, .date, date_var) that returns a data frame. This function is used to get the "slice" of `.data` for `.date`. If NULL, the internal function is used.
`prepare_data`	Function of the form function(.data, .date) that returns a data frame. This function modifies the "slice" of data loaded with `load_data` before the first stage regression is done on this "slice" of data. If NULL, this step is skipped.
`estimate`	Function of the form function(model, .data, .date) that returns a list of the first-stage estimates for `.date`. This function should produce results that `aggregate` will be able to use for the second stage. If NULL, the internal function is used.
`aggregate`	Function of the form function(model, l_fit) that returns an `fmreg` object. This function takes a `model` and a list of the first stage estimates for the `model` and does the second stage of the Fama-MacBeth regression. If NULL, the internal function is used.
`progress`	Logical: If TRUE, the progress of the estimation is printed to the standard output.