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From: Peter Perkins <Peter.PerkinsRemoveThis@mathworks.com>
Newsgroups: comp.soft-sys.matlab
Subject: Re: Cross-Sectional Regression
Date: Mon, 23 Feb 2009 10:05:23 -0500
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Hans Schmidt wrote:

> Assume I have T=100 observations of returns. Furthermore, I have two risk factors (regressors) with each 100 observations. Now I use the first 60 observations to estimate the coefficients via a time series regression. This leaves me with the observations 61 to 100 for cross sectional tests. For this, suppose I have these 61 to 100 for, say, 10 firms. So my cross sectional test would be, whether the two estimated coefficients explain each (61, 62, ..., 100) cross section of stock returns. So I should get 2 (risk factors) * 10 (number of firms) parameter estimates (when excluding a constant) for each cross section.

Hans, I'm not an econometrician.  As I read your description, you want to do 40 linear regressions, each with 10 observations and each involving 20 or perhaps 21 coefficients.  Obviously that makes no sense.  Perhaps you mean that you want to estimate the _same_ 21 coefficients across all 40 times.  That s easy to do.  Perhaps you mean something else.