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st: GMM Estimation of Multi-Beta asset Pricing models


From   Christopher Kodongo <Christopher.Kodongo@students.wits.ac.za>
To   statalist@hsphsun2.harvard.edu
Subject   st: GMM Estimation of Multi-Beta asset Pricing models
Date   Mon, 09 Nov 2009 21:24:53 +0300

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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