Hello,

I ran two seperate regressions on two portfolios. The regressors are the Fama/French Factors. Because the portfolio excess-returns are already time series averages, I ran a regression with Newey-West adjusted std. errors.

The code looks like this:
Code:
 tsset ym
newey portfolio1 mktrf smb hml, lag(6)
newey portfolio2 mktrf smb hml, lag(6)
Here is an example of my dataset:
Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input float(ym portfolio1 portfolio2 mktrf smb hml)
210 -1.0934919 -1.2953682  -1.69  2.12  -.59
211 -1.5076194  -.9989501  -1.75  1.52 -2.79
212   1.846868  1.8286937   -.27  1.45  -.49
213  -2.503698 -2.2496798  -4.38  1.27  1.72
214   9.566316   7.653448      4  3.72   .31
215  1.5677294   .4746514    .27  1.35  -.37
216  -3.239614  -4.017523  -6.01  2.22  3.31
217    2.35551  1.5107986  -1.38  3.59   .76
218    6.92542   4.650113   2.85  3.48   1.2
219   9.188552   7.253043   7.88    .4 -3.54
220    5.65227   5.163275   1.76  4.56  -.62
221 -1.0532163 -1.5494046  -1.69  1.69   .59
222    6.21275    5.09622   5.11   .26 -1.11
223   7.366338   7.396804   3.75  5.06  -.46
end
format %tm ym
Now I want to run a t-test, that tests if the slopes of the coefficients are equal.

Any help is highly appreciated.

Best regards
Steven