R: RE: Re: st: multifactor models

["a.carrozzone@libero.it" <a.carrozzone@libero.it>]

Thanks a lot. I´ve just downloaded the GRS test. It would be extemely helpful 
if you could send me the FMTEST module you wrote.

Best,


Andrea



>----Messaggio originale----
>Da: R.Tharyan@exeter.ac.uk
>Data: 16-lug-2010 13.17
>A: "statalist@hsphsun2.harvard.edu"<statalist@hsphsun2.harvard.edu>
>Ogg: RE: Re: st: multifactor models
>
>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 
>full moon test of Sue, Grabbit, and Runne (1989)?” admittedly divide the 
world. 
>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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