*
*  Example 2.7 from pp 40-41
*
cal(m) 1960:1
open data capm2.dat
data(format=prn,org=columns) 1960:1 2002:12 rfood rdur rcon rmrf rf jandum
*
* The three group returns (rfood, rdur, rcon) and market return (rmrf) are
* already provided as excess returns over the risk free rf
*
report(action=define)
report(atrow=1,fillby=cols) "Company" "Excess Returns" "" "Uncentered R**2" "s"
linreg rfood
# rmrf
report(col=new,atrow=1,fillby=cols,align=center) "Food" %beta(1) %stderrs(1) %trsq/%nobs sqrt(%seesq)
linreg rdur
# rmrf
report(col=new,atrow=1,fillby=cols) "Durables" %beta(1) %stderrs(1) %trsq/%nobs sqrt(%seesq)
linreg rcon
# rmrf
report(col=new,atrow=1,fillby=cols) "Constuction" %beta(1) %stderrs(1) %trsq/%nobs sqrt(%seesq)
report(action=show)
*
* Same regressions with an intercept ("CONSTANT")
*
linreg rfood
# constant rmrf
linreg rdur
# constant rmrf
linreg rcon
# constant rmrf
*
* And with the January dummy
*
linreg rfood
# constant jandum rmrf
linreg rdur
# constant jandum rmrf
linreg rcon
# constant jandum rmrf