Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Re: Banquo yet again


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: Banquo yet again
Date   Wed, 13 Oct 2004 09:29:01 -0400

Good advice from a statistical viewpoint, but the paper will never be published in a finance journal. The reviewers in finance have AR(1) coefficients of 0.9999 with respect to changes in the methodology.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

On Oct 13, 2004, at 2:33 AM, Stas wrote:


This sounds like a multilevel model to me. I don't know the method at
all as proposed by Fama and MacBeth (can you provide a reference? I
know Fama is famous in finance, but I am not sure he is equally famous
in statistics...), but it seems to me that plugging the regression
coefficient estimates as the real time series observations will at
least give wrong standard errors. (Don't tell me you are going to use
the bootstrap to correct them. Just don't get me started...) I would
advocate constructing an appropriate two-level model and estimate it
with -gllamm-; that would be the closest analog of SAS' PROC MIXED, if
that's what you had in mind there. See http://www.gllamm.org, GLVM
book from Stata, and examples at
http://www.ats.ucla.edu/stat/stata/examples/mlm_ma_hox/.

Before saying that Fama-MacBeth is the de-facto method, remember that
you may become a founder of a new methodology, so that people in
business would refer to it as Edmans model :))
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index