在stata中用GMM方法进行分组回归,不知道如何进行J-test呢?程序如下:
use E:\stata12\rellev_china_new\data\merge_FF_data.dta, clear
gen code27=rellev_3*100+lnbm_3*10+lnsize_3
bysort month1 code27: egen port_ret=mean(return)
duplicates drop month1 code27, force
gen excess_ret=port_ret-rf
/*FF三因素模型 rmrf\smb\hml ##################################################*/
logout, save(E:\stata12\rellev_china_new\results\27_FF(GMM)) excel dec(5) replace: bysort code27: gmm (excess_ret-rmrf*{b1}-smb*{s1}-hml*{h1}-{a1}) ,igmm instruments(rmrf smb hml) wmatrix(hac nwest 4) vce(hac nwest 4) winitial(unadjusted, independent)