If you want to replicate the results of KPSS (2017), see this replication kit
Mike Woeppel has some additional cleaned data from USPTO
I have posted some SAS code to estimate regressions with Fama-Macbeth, clustered standard errors, or fixed effects in SAS. This code complements the Stata code available on Mitchell Petersen's Programming Advice page.
SAS code to estimate PIN (as in Easley, Kiefer, O'Hara & Paperman, 1996, Journal of Finance).
“He was one of those deep ones who know about stocks and shares. Of course no one really
knows, but he quite seemed to know, and he often said stocks were up and shares were down
in a way that would have made any woman respect him.”