Displaying 1 result from an estimated 1 matches for "ssenriqu".
2011 Oct 25
1
regression using GMM for mulltiple groups
...stocks each have 180 observations,however it only gives
me one output rather than 36.
In SAS i would just put in a *By statement*. I have a variable TICKER that
categorize them into 36 groups.
*How can I obtain all 36 output instead of just one.*
**
DataMat<-read.table(file="C://Users//ssenriqu//Dropbox//Work//Risk//data//CRSP//CRPS
2 original1.csv",sep=",",dec=".",header=TRUE)
require(gmm)
Returns <- DataMat[1:6480,"Returns"]
VWRET <- DataMat[1:6480,"VWRET"]
RF <- DataMat[1:6480,"RF"]
z<-as.matrix(Returns-RF)
zm<-as.ma...