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st: How to do a GRS F-test in Stata


From   Jared DeLisle <rjd1867@fsu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: How to do a GRS F-test in Stata
Date   Wed, 01 Oct 2008 10:37:18 -0400

I've been searching around trying to find how to program a Gibbons, Ross, & Shanken (Econometrica 1989) F-test on the alphas (intercepts) from a set of regressions, and have found nothing. So either my searching skills are lacking (very possible) or this procedure is a closely guarded secret (in Stata, at least). Can anyone point me in the right direction?

Thanks,
Jared
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