I want to estimate a beta-pricing CAPM model using a portfolio of 12 assets. I want to use the GMM approach proposed by Cochrane (2005, page 241-243):
Array
Here is my command (I simplify it now to three assets):
gmm (ex1 - {alpha1} - {beta1}*mktrf1) /// 1st moment
(ex2 - {alpha2} - {beta2}*mktrf2 ) ///
(ex3 - {alpha3} - {beta3}*mktrf3) ///
((ex1 - {alpha1} - {beta1}*mktrf1)*mktrf1) /// 2st moment
((ex2 - {alpha2} - {beta2}*mktrf2)*mktrf2) ///
((ex3 - {alpha3} - {beta3}*mktrf3)*mktrf3) ///
(ex1 - {beta1}*{lambda}) /// 3st moment
(ex2 - {beta2}*{lambda}) ///
(ex3 - {beta3}*{lambda}) , instruments(mktrf1) winit(identity) igmm nocommonesample
And I always get the error message "could not calculate numerical derivatives -- flat or discontinuous region encountered".
I searched already for a solution, in the stata forum you get the answer to simplify the model. I tried this. Immediately, when I throw out the third moments, it works! But I need of course the third moment. Can anybody help me out here? Is something wrong with my code?
Related Posts with Estimation of CAPM (beta pricing model) with GMM
putpdf after estoutDear Statalists, Is there any way to put a table modified by estout, using putpdf? for example, C…
Esttab rounding optionI am outputting regression results using esttab and am using the options b(a2) and se(a3) to round t…
Interactions in instrumental variable regressionHi statalist, I am using ivreg2 to carry out my instrumental variable analysis. This is my model wi…
Log transformed dependent variable in DDDear all, I am having some trouble in estimating a difference-in-differences model. In particular…
How to keep a variable with 3 consecutive yearshi everyone, i have this database Code: nationalidnumber city naceprimary nacesecon…
Subscribe to:
Post Comments (Atom)
0 Response to Estimation of CAPM (beta pricing model) with GMM
Post a Comment