portfolio:在Stata中执行投资组合分析的命令

IF 3.2 2区数学 Q1 SOCIAL SCIENCES, MATHEMATICAL METHODS

Stata Journal Pub Date : 2022-12-01 DOI:10.1177/1536867X221141021

Hongbing Zhu, Lihua Yang

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引用次数: 0

摘要

在实证资产定价中，投资组合分析被广泛用于探索两个或多个变量之间的横截面关系。在本文中，我们介绍了投资组合分析的方法，并描述了一个新的命令portfolio，它为投资组合分析提供了一步解决方案。Portfolio用t统计量计算投资组合的等额或价值加权收益，并检验多空策略在投资组合中的重要性。投资组合还提供了新西标准误差调整选项，以减轻金融时间序列中潜在的自相关和异方差的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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portfolio: A command for conducting portfolio analysis in Stata

Portfolio analysis is widely used in empirical asset pricing to explore the cross-sectional relation between two or more variables. In this article, we introduce the methodology of portfolio analysis and describe a new command, portfolio, that provides a one-step solution for portfolio analysis. portfolio calculates the equal- or value-weighted returns with a t statistic for the portfolio and tests the significance of a long-short strategy in portfolios. portfolio also provides the Newey–West standard-error adjustment option for alleviating the impact of potential autocorrelation and heteroskedasticity in financial time series.

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来源期刊

Stata Journal 数学-统计学与概率论

CiteScore

7.80

自引率

4.20%

发文量

审稿时长

>12 weeks

期刊介绍： The Stata Journal is a quarterly publication containing articles about statistics, data analysis, teaching methods, and effective use of Stata''s language. The Stata Journal publishes reviewed papers together with shorter notes and comments, regular columns, book reviews, and other material of interest to researchers applying statistics in a variety of disciplines.