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From |
Jared DeLisle <rjd1867@fsu.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Test of intercepts across OLS regressions |

Date |
Mon, 10 Nov 2008 11:50:57 -0500 |

-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 * * 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/

**References**:**st: Test of intercepts across OLS regressions***From:*Jared Delisle <rjd1867@fsu.edu>

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