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st: shanken corrected standard errors
From
[email protected]
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Subject
st: shanken corrected standard errors
Date
Fri, 14 Jun 2013 10:59:07 +0300
Dear Statalist users,
Is there a way to calculate standard errors with Shanken correction as
proposed by Shanken (reference below)?. I have read on the archieves that
there is a FMtest module, but I could not find it.
Best regards,
Figen
Reference: Shanken J., On the Estimation of Beta-Pricing Models, 1992,
Review of Financial Studies, Vol. 5, No. 1, pp. 1-33.
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