Introduction

We are pleased to announce that we have developed a Stata code based on the methodologies proposed by Barillas, Robotti, and Shanken (2020). This code implements several statistical tests for comparing asset pricing models. These tests include the basic alpha test for nested model comparison, the direct test for comparing squared Sharpe ratios of non-nested models, and the sequential test which combines the alpha test and the direct test. This tool provides a robust framework for assessing and comparing the performance of different asset pricing models.

The Basic Alpha Test

This test is used for nested model comparison. It checks whether the alphas of the factors excluded from a nested model are jointly zero when regressed on the nested model factors.

The Direct Test

his test is used for comparing squared Sharpe ratios of non-nested models. It checks whether the squared Sharpe ratios of two non-nested models are equal using the asymptotic distribution of the difference in squared Sharpe ratios.

The Sequential Test

This test is used for nested model comparison. It checks whether the alphas of the factors excluded from a nested model are jointly zero when regressed on the nested model factors.

 

Our Stata Code Implementation

We have developed a comprehensive Stata code that replicates the methodology used in Barillas, Robotti, and Shanken’s paper. Our code covers the following analyses:

  • The Basic Alpha Test
  • The Direct Test
  • The Sequential Test

Our Stata code is designed to be user-friendly and easy to understand, even for those who are new to Stata. We provide clear comments and explanations for each part of the code to ensure that you can follow along and understand exactly what is happening at each step.

 

Pricing

We offer the code three distinct packages:

  • Single Measure: This package, priced at 99 GBP, includes the Stata code for either one of the two measures.
  • Two Measures: This package, priced at 179 GBP, includes the Stata code for any two measures. This is equal to a discount of approximately 20%.
  • All Three Measures: This package, priced at 248 GBP, includes the Stata code for any two measures, a discount of approximately 30% compared to buying each measure separately.

Choose the package that best suits your needs and make the most of our offerings.

 

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          Why should you buy the code?


Dr. Attaullah Shah
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