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st: multifactor models
From
"[email protected]" <[email protected]>
To
[email protected]
Subject
st: multifactor models
Date
Thu, 15 Jul 2010 17:24:47 +0200 (CEST)
Dear Stata users,
I am trying to estimate a multifactor model using the standard Fama-Macbeth
(1973) procedure.
I have a problem in computing the Gibbons Ross Shanken (1989) statistic and
the Shanken (1992) correction for the standard errors.
Are you aware of STATA modules to do that?
Thanks a lot,
Andrea
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