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Re: st: multifactor models
From
Maarten buis <[email protected]>
To
[email protected]
Subject
Re: st: multifactor models
Date
Thu, 15 Jul 2010 09:36:26 -0700 (PDT)
--- On Thu, 15/7/10, [email protected] wrote:
> 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?
Quote from the Statalist FAQ (a link to it appears underneath
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-- Maarten
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://www.maartenbuis.nl
--------------------------
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