I asked this question a few weeks ago, with no response. So I'll give
it another try and be more explicit, since I was vague in the first
post. Here goes... I have a set of regressions, let's say 10 separate
regressions, all over the same time period, all with the same
specification: Y(n) = a + bX, where n=1..10 (designating which vector of
Y will be the dependent variables), and X is the same vector of
regressors for all regressions. I am interested in testing if the
intercepts, a1...a10, are jointly equal to zero. I can do this with a
-sureg- and -test _cons- which gives me a Wald Chi-square statistic. I
need to perform a Gibbons, Ross, & Shanken (Econometrica 1989) test,
which yields an F-statistic, and is essentially (if I interpret it
correctly) a Hotelling's T-squared statistic times (T-N-1)/[N(T-2)]
where T is the number of time series observations and N is the number of
intercepts (10 in my case). Is anyone familiar with performing such an
analysis? Is there a .do file floating around that calculates this GRS
F-statistic, or any suggestions on how to write one up?
Thanks for your assistance,
Jared
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
