I'm not aware of any resources that currently implement that precisely. I actually coordinate academic outreach at Quantopian so I'd be interested to know where you're doing the research if you don't mind me asking. It helps me keep track of who's working on what and what resources may be helpful. For instance if we produce a new lecture and it's related to what someone is working on, we'll do our best to notify them. If you send me an email at [email protected] that would be easiest.
Also, an implementation of Fama-Macbeth regression sounds like it might be a great addition to the lecture series. If you come up with an implementation of it please let us know. If the implementation is nicely written and we have the time, we'd be happy to add it to the lectures with full credit going to whoever wrote it.
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