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| From | figengunes@bilkent.edu.tr |
| To | statalist@hsphsun2.harvard.edu |
| 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. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/