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st: multifactor models

From   "" <>
Subject   st: multifactor models
Date   Thu, 15 Jul 2010 17:24:47 +0200 (CEST)

Dear Stata users,

I am trying to estimate a multifactor model using the standard Fama-Macbeth
(1973) procedure.

I have a problem in computing the Gibbons Ross Shanken (1989) statistic and 
the Shanken (1992) correction for the standard errors.

Are you aware of STATA modules to do that?

Thanks a lot,

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