Dear Statalisters,
I encountered a problem I cannot solve on my own. I checked the FAQ and the only related post was never answered. So I try to clarify the situation better than my prior:
I run some GRS Tests on different Portfolios on the LHS and different factors on the RHS to asses their asset pricing performance.
The code as follows:
where,
P_eps_PBQ are 25 different portfolios
mktrf is the market return
LML2_eps_30 is a factor
The result:
Now I want to correct for samling errors and calculate some dispersion measure.
Therefore, I need to access the Mean alpha for J1 (1.0072402) and the Mean SE (0.26770253). How can I do that?
Using r() or e() returns the last regression results, which I do not want. As GRS tests the joint significance of the intercept using multiple regressions, r() or e() will use the last regression done by the GRS test. But I need to access the datapoint in the GRS table.
Any suggestions how I can do that?
Thanks in advance!
Best regards, Sebastian
I encountered a problem I cannot solve on my own. I checked the FAQ and the only related post was never answered. So I try to clarify the situation better than my prior:
I run some GRS Tests on different Portfolios on the LHS and different factors on the RHS to asses their asset pricing performance.
The code as follows:
Code:
grstest2 P_eps_PBQ* , flist(mktrf LML2_eps_30 )
P_eps_PBQ are 25 different portfolios
mktrf is the market return
LML2_eps_30 is a factor
The result:
Now I want to correct for samling errors and calculate some dispersion measure.
Therefore, I need to access the Mean alpha for J1 (1.0072402) and the Mean SE (0.26770253). How can I do that?
Using r() or e() returns the last regression results, which I do not want. As GRS tests the joint significance of the intercept using multiple regressions, r() or e() will use the last regression done by the GRS test. But I need to access the datapoint in the GRS table.
Any suggestions how I can do that?
Thanks in advance!
Best regards, Sebastian
