XTGPS: Stata module to estimate Hoechle, Schmid, and Zimmermann's (2024) GPS regression model for analyzing asset returns

Daniel Hoechle ()
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Daniel Hoechle: University of Basel

Statistical Software Components from Boston College Department of Economics

Abstract: xtgps estimates the GPS regression model proposed by Hoechle, Schmid, and Zimmermann (2024) in their working paper "Does Unobservable Heterogeneity Matter for Portfolio-Based Asset Pricing Tests?". The GPS-regression model is a regression-based methodology for analyzing asset returns. The technique can easily handle multiple dimensions and continuous firm, fund, or investor characteristics. The method allows for investigating the cross-section versus time-series predictability of stock returns, and it provides a framework for formal tests of competing specifications. The GPS-model nests conventional portfolio sorts (where assets are sorted into portfolios based on one or more characteristics) as a special case. Estimation results therefore have a straightforward economic interpretation.

Language: Stata
Requires: Stata version 9.2 and xtscc, estout from SSC (q.v.)
Keywords: GPS model; asset returns (search for similar items in EconPapers)
Date: 2024-08-27
Note: This module should be installed from within Stata by typing "ssc install xtgps". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtgps.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpsort.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtgps.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpsort.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtgps_material.zip zip archive (application/zip)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459366

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