how do I run APT model on Eviews?
Posted: Wed Jun 26, 2024 6:03 am
Hi,
How do I run an Arbitrage Pricing Model, Broadly, the test proceeds as follows:
1. I have to estimate the betas from the factor model, which is a make up of 8 macroeconomic variables which is a time series equation.
2. Thereafter, from the betas found in the first equation, I have to estimate the lambdas, which is a cross-sectional regression.
This is a two-step estimation. I think I need to write a code to estimate both betas and lambdas to avoid errors-in-variables. Any idea on how I can do this?
How do I run an Arbitrage Pricing Model, Broadly, the test proceeds as follows:
1. I have to estimate the betas from the factor model, which is a make up of 8 macroeconomic variables which is a time series equation.
2. Thereafter, from the betas found in the first equation, I have to estimate the lambdas, which is a cross-sectional regression.
This is a two-step estimation. I think I need to write a code to estimate both betas and lambdas to avoid errors-in-variables. Any idea on how I can do this?