Respected sir,
I have time series data on 25 portfolios excess return (dependent variable) and 6 independent variables (RM-RF, SMB, HML, RMW, CMA AND WML). I want to run GRS test to check whether these 25 intercepts are jointly zero. I have run these 25 regressions with command "foreach y of varlist y1-y25 {regress `y' RM-RF, SMB, HML, RMW, CMA AND WML}". I have tried a lot but not able to do this GRS test. Please help me...
Thank you
Priya