For the penalized FamaMacBeth, the level tuning parameter is set to the average of the residual standard deviation from the first stage. The dimensionalty paramter is 4 by default, and individual penalty weights are calculated as the Fisher transform of partial correlations.
'returns' and 'factors' are two containers with equal number of observations (aligned) that can be coerced to a matrix. Both estimators return a crudely hacked together sublass of 'lm' that plays nicely with 'stargazer'.
'vcov' can return either Shanken or GMM standard errors. For a 'penfmb' instance, the bootstrapped shrinkage rate is returned.
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