RE: Re: st: multifactor models

["Tharyan, Rajesh" <R.Tharyan@exeter.ac.uk>]

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: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of a.carrozzone@libero.it
Sent: 16 July 2010 10:30
To: statalist@hsphsun2.harvard.edu
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: maartenbuis@yahoo.co.uk
>Data: 15-lug-2010 18.36
>A: <statalist@hsphsun2.harvard.edu>
>Ogg: Re: st: multifactor models
>
>--- On Thu, 15/7/10, a.carrozzone@libero.it 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
>every post on the statalist): 
>
>Precise literature references please! Please do not assume that the 
>literature familiar to you is familiar to all members of Statalist. Do not 
refer to publications with just minimal details (e.g., author and date). 
Questions of the form “Has anyone implemented the heteroscedasticity under a 
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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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