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| From | Luo Di <luodi1217@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: GMM in consumption CAPM |
| Date | Wed, 9 Mar 2011 07:41:58 +0000 |
Yes. Pleases see the following: Parker, J. and C. Julliard. 2005. Consumption Risk and the Cross-Section of Expected Returns. Journal of Political Economy Yogo, M. 2006 A Consumption-Based Explanation of Expected Stock Returns. Journal of Finance Thanks. Luo Di On 9 March 2011 00:21, Charles Koss <hqtiger@gmail.com> wrote: > Could you provide full reference to the papers? > > thanks, > > Charles > > > > On Tue, Mar 8, 2011 at 4:05 PM, Luo Di <luodi1217@gmail.com> wrote: >> Dear all, >> >> Have anyone written stata command or ado file to estimate consumption >> CAPM using GMM method, typically the recent paper of Parker and >> Julliard (2005) and Yogo (2006)? I want to know how to use stata to >> implement the method of Parker and Julliard (2005) and Yogo (2006). >> >> Thanks. >> >> Best Regards, >> Luo Di >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/