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Re: st: CAPM Estimation in Stata using GMM


From   Aniruddha Rajan <aniruddha.rajan@googlemail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: CAPM Estimation in Stata using GMM
Date   Tue, 07 Aug 2012 22:32:40 +0100

Apologies, after reading a little further and gaining more understanding
of the procedure I have realized that the question I specified in 2) was
slightly inaccurate. The excess market return (Rm - Rf) will act as an
instrument in this procedure.

Kind regards,
Aniruddha

On 07/08/2012 18:48, "Aniruddha Rajan" <aniruddha.rajan@googlemail.com>
wrote:

>Hi all,
>
>I am attempting to estimate the standard Capital Asset Pricing Model over
>a
>set of portfolios using the GMM technique. I have a few questions:
>
>1) I wish to allow for serial correlation in the error terms, as well as
>cross-correlation. Does this require the weighting matrix to be specified
>as HAC in the options, or the standard error to be specified as HAC?
>
>2) My moment conditions are exactly identified so my parameter estimates
>should be equivalent to those obtained through OLS. I merely have a stack
>of seemingly unrelated regression equations (SURE) without any
>instruments.
>Does this make any difference regarding what I should specify within the
>GMM command in Stata?
>
>3) If possible, I would also like to fit an ARCH/GARCH model to the error
>term. Would this be possible using GMM estimation in Stata?
>
>I have easy access to Stata 11 Intercooled so would ideally like to
>accomplish my work within this program. However, if this is best performed
>using Stata 12 then I shall attempt to locate machine at the university
>that has it.
>
>Many thanks and I appreciate any advice that can be provided.
>
>Kind regards,
>Aniruddha
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