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st: RE: GMM Estimation of Multi-Beta asset Pricing models


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: GMM Estimation of Multi-Beta asset Pricing models
Date   Mon, 9 Nov 2009 19:15:06 +0100

<>

I have 11 MP, and mine was born 21 Oct 2009, and I think the born dates move
in sync with the SE version, so I guess you should -update all-.

No html, please ...


HTH
Martin

From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Christopher
Kodongo
Sent: Montag, 9. November 2009 19:25
To: statalist@hsphsun2.harvard.edu
Subject: st: GMM Estimation of Multi-Beta asset Pricing models

Stata/SE 11 for Windows
Born 13 July 2009

I am trying to estimate a multi-beta asset pricing model of the form:
Yi = B0 + Bi1X1 + Bi2X2 + A1Bi1 + A2Bi2 + u. The model requires that the
factor loadings (Bi1 and Bi2) be estimated first, then, in turn, used to
estimate the risk factors (A1 and A2). To avoid errors in estimation, it is
important that the two sets of coefficients are estimated jointly in a
one-step procedure. How can I be able to do that using Stata 11 for Windows?
Thank you.
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