st: GMM Estimation of Multi-Beta asset Pricing models

[Christopher Kodongo <Christopher.Kodongo@students.wits.ac.za>]

Stata/SE 11 for Windows
Born 13 July 2009

I am trying to estimate a multi-beta asset pricing model of the form:
Yi = B0 + Bi1X1 + Bi2X2 + A1Bi1 + A2Bi2 + u. The model requires that the factor loadings (Bi1 and Bi2) be estimated first, then, in turn, used to estimate the risk factors (A1 and A2). To avoid errors in estimation, it is important that the two sets of coefficients are estimated jointly in a one-step procedure. How can I be able to do that using Stata 11 for Windows? Thank you.

This communication is intended for the addressee only. It is confidential. If you have received this communication in error, please notify us immediately and destroy the original message. You may not copy or disseminate this communication without the permission of the University. Only authorized signatories are competent to enter into agreements on behalf of the University and recipients are thus advised that the content of this message may not be legally binding on the University and may contain the personal views and opinions of the author, which are not necessarily the views and opinions of The University of the Witwatersrand, Johannesburg. All agreements between the University and outsiders are subject to South African Law unless the University agrees in writing to the contrary.