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st: Test of intercepts across OLS regressions


From   Jared Delisle <rjd1867@fsu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Test of intercepts across OLS regressions
Date   Wed, 05 Nov 2008 22:40:52 -0500

I asked this question a few weeks ago, with no response.  So I'll give
it another try and be more explicit, since I was vague in the first
post.  Here goes...  I have a set of regressions, let's say 10 separate
regressions, all over the same time period, all with the same
specification: Y(n) = a + bX, where n=1..10 (designating which vector of
Y will be the dependent variables), and X is the same vector of
regressors for all regressions.  I am interested in testing if the
intercepts, a1...a10, are jointly equal to zero.  I can do this with a
-sureg- and -test _cons- which gives me a Wald Chi-square statistic.  I
need to perform a Gibbons, Ross, & Shanken (Econometrica 1989) test,
which yields an F-statistic, and is essentially (if I interpret it
correctly) a Hotelling's T-squared statistic times (T-N-1)/[N(T-2)]
where T is the number of time series observations and N is the number of
intercepts (10 in my case).  Is anyone familiar with performing such an
analysis?  Is there a .do file floating around that calculates this GRS
F-statistic, or any suggestions on how to write one up?

Thanks for your assistance,
Jared

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