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st: how do we jointly test coefficients from different regressions?


From   Arthur Boman <boman@berkeley.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: how do we jointly test coefficients from different regressions?
Date   Mon, 18 Mar 2013 20:55:20 -0700

Hello,

I am working on a joint test.  The test is NOT of the standard f-test
form:

y = a*x1 + b*x2+ c*x3 +d*x4, and then testing the null whether a=b=c=0.

The test is of the form:  

y1= a*x1 + f*x2  and  y2= b*x1 + g*x2 and  y3= c*x1 + h*x2 and testing the
null whether a=b=c=0

I want to allow the constant.

I have looked a lot and cannot figure out how to do in Stata.

y1, y2, y3, x1, x2 are time series data by year... one value per year.  I
have data for all five of those variables for each of 68 consecutive years.
I don't have data for any of them for any other years.

Someone suggested I stack (y1, y2, y3) into a column vector.  I dont get
how that would work and cannot ask the person.

Thanks,
Arthur

(More background: y1, y2, and y3 are portfolio returns by year.  I want to
test the hypothesis that x1 is not a priced factor in ANY of the portfolios
(i.e. that the coefficient on x1 is zero for ALL portfolios).  x2 is just
another factor in my asset-pricing model.  There are actually 25
portfolios, not just three.  I will be testing whether we can reject the
null hypothesis that all of the 25 coefficients are zero.)







 
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