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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.) * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: how do we jointly test coefficients from different regressions?***From:*David Hoaglin <dchoaglin@gmail.com>

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