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RE: Re: st: multifactor models
From
"Tharyan, Rajesh" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: Re: st: multifactor models
Date
Fri, 16 Jul 2010 12:17:47 +0100
Hi
GRSTEST module is available to perform the Ross Shanken (1989) test.
. findit grstest
I also have written a module called FMTEST to perform the fama-macbeth procedure with both rolling and nonrolling betas and applying the shanken correction. I still haven’t written a help file for that so it is not up on ssc. But I can send it to you privately.
Regards
Rajesh tharyan
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of [email protected]
Sent: 16 July 2010 10:30
To: [email protected]
Subject: R: Re: st: multifactor models
Sorry for not being precise. I now give the references for my question.
Thanks,
Andrea
Fama E., MacBeth J., Risk, Return, and Equilibrium: Empirical Tests, 1973,
Journal of
Political Economy, Vol. 81, Issue 3, pp. 607-636.
Gibbons M.R., Ross S.A., J. Shanken (1989), A test of the efficiency of a
given portfolio,
Econometrica, 57, p.1121-1152.
Shanken J., On the Estimation of Beta-Pricing Models, 1992, Review of
Financial
Studies, Vol. 5, No. 1, pp. 1-33.
>----Messaggio originale----
>Da: [email protected]
>Data: 15-lug-2010 18.36
>A: <[email protected]>
>Ogg: Re: st: multifactor models
>
>--- On Thu, 15/7/10, [email protected] wrote:
>> 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?
>
>Quote from the Statalist FAQ (a link to it appears underneath
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>
>Precise literature references please! Please do not assume that the
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Anyone who has not heard of the said test would not be helped by the full
reference to answer the question, but they might well appreciate the full
reference.
>
>-- Maarten
>
>--------------------------
>Maarten L. Buis
>Institut fuer Soziologie
>Universitaet Tuebingen
>Wilhelmstrasse 36
>72074 Tuebingen
>Germany
>
>http://www.maartenbuis.nl
>--------------------------
>
>
>
>
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