* OLS Model for Excess Stocks' Return * * Keywords: * regression, ols, intercept, excess return, stock * * Description: * We illustrate how to estimate Linear OLS Model for Excess Stocks' Return * with and without an intercept * * Author(s): * Skif Pankov * * Source: * Damodar N. Gujarati and Dawn C. Porter, Basic Econometrics - 5th Edition * McGraw-Hill International Edition, Chapter 6, Example 6.1 (page 150) * sample 1 240 * Read the datafile and name the variables - read (data_6.1.shd) y x * OLS regression without an intercept - y on x ols y x / noconstant rstat * Testing that the estimate of the coefficient on x is greater than 1 * by constructing a t-test: test x=1 * OLS regression with an intercept - y on x ols y x / rstat stop