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wret
2011 Oct 25
1
regression using GMM for mulltiple groups
...to 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.matrix(VWRET-RF)
res <- gmm(z ~ zm, x = zm)
coef(res)
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Sherlene Enriquez-Savery, Doctoral Candidate
Department of Mathematics & Statistics
University of South Florida...