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- Wed Apr 29, 2015 8:24 pm
- Forum: Programming
- Topic: Testing Robust CAPM using Likelihood ratio test
- Replies: 1
- Views: 1831
Testing Robust CAPM using Likelihood ratio test
Hi there, I'm trying to test the Robust CAPM but have trouble setting the alpha and beta to 0 and 1, respectively. What would the codes be for these commands? Thanks heaps in advance. @logl logf y = r_cba - rate_365 x = r_all_ordinaries - rate_365 u = y - c(1) - c(2)*x sig2 = c(3)^2 nu = c(4) @param...