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st: shanken corrected standard errors


From   figengunes@bilkent.edu.tr
To   statalist@hsphsun2.harvard.edu
Subject   st: shanken corrected standard errors
Date   Fri, 14 Jun 2013 10:59:07 +0300

Dear Statalist users,

Is there a way to calculate standard errors with Shanken correction as
proposed by Shanken (reference below)?. I have read on the archieves that
there is a FMtest module, but I could not find it.

Best regards,

Figen

Reference: Shanken J., On the Estimation of Beta-Pricing Models, 1992,
Review of Financial Studies, Vol. 5, No. 1, pp. 1-33.

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