Chen roll and ross 's factor model. two stage regressions

Hi! I want to replicate chen roll and ross 's multi factor model for specific industry. Initially i need to run time series regression and then cross sectional regression. Since I'm new to matlab, is there anyone could help me in simple steps how to do it. Is there any book or link can help me.

here is the procedure as given in the paper.

a) A sample of assets will be chosen – American social media companies.

b) The stocks’ exposure to the risk factors (economic state factors) will be estimated by regressing their returns on the unanticipated changes in the economic variables over some estimated period (i.e. 5 years).

c) The resulting estimates of exposure (betas) will be used as the independent variables in 12 cross-sectional regressions, one regression for each of the next 12 months, with asset returns for the month being the dependent variable.

d) Steps b and c will then be repeated for each year in the sample, yielding for each macro variable a time series means of these estimates will then be tested by t-test for significant from zero.

Millions of thanks in advance