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

Author

Listed:
  • Daniel Hoechle

    (University of Basel)

Programming Language

Stata

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.

Suggested Citation

  • Daniel Hoechle, 2024. "XTGPS: Stata module to estimate Hoechle, Schmid, and Zimmermann's (2024) GPS regression model for analyzing asset returns," Statistical Software Components S459366, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459366
    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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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtgps.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpsort.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtgps.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpsort.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtgps_material.zip
    File Function: zip archive
    Download Restriction: no
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    More about this item

    Keywords

    GPS model; asset returns; Stata;
    All these keywords.

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