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Re: st: Test of intercepts across OLS regressions


From   Jared DeLisle <[email protected]>
To   [email protected]
Subject   Re: st: Test of intercepts across OLS regressions
Date   Mon, 10 Nov 2008 11:50:57 -0500

At risk of answering my own question, is -mvreg- and -mvtest- appropriate here? i.e.

-mvreg y1 y2 y3 ... y10 = x -
-mvtest _cons -

This gives an F-statistic.

Jared Delisle wrote:
I asked this question a few weeks ago, with no response.  So I'll give
it another try and be more explicit, since I was vague in the first
post.  Here goes...  I have a set of regressions, let's say 10 separate
regressions, all over the same time period, all with the same
specification: Y(n) = a + bX, where n=1..10 (designating which vector of
Y will be the dependent variables), and X is the same vector of
regressors for all regressions.  I am interested in testing if the
intercepts, a1...a10, are jointly equal to zero.  I can do this with a
-sureg- and -test _cons- which gives me a Wald Chi-square statistic.  I
need to perform a Gibbons, Ross, & Shanken (Econometrica 1989) test,
which yields an F-statistic, and is essentially (if I interpret it
correctly) a Hotelling's T-squared statistic times (T-N-1)/[N(T-2)]
where T is the number of time series observations and N is the number of
intercepts (10 in my case).  Is anyone familiar with performing such an
analysis?  Is there a .do file floating around that calculates this GRS
F-statistic, or any suggestions on how to write one up?

Thanks for your assistance,
Jared

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