Inthe code below  I was trying to to obtain the GMM estimates for CAPM
(REGRESSION) for 36 stocks each have 180 observations,however it only gives
me one output rather than 36.

In SAS i would just put in a *By statement*.  I have a variable TICKER that
categorize them into 36 groups.

*How can I obtain all 36 output instead of just one.*
**

DataMat<-read.table(file="C://Users//ssenriqu//Dropbox//Work//Risk//data//CRSP//CRPS
2 original1.csv",sep=",",dec=".",header=TRUE)
require(gmm)
Returns <- DataMat[1:6480,"Returns"]
VWRET <- DataMat[1:6480,"VWRET"]
RF <- DataMat[1:6480,"RF"]
z<-as.matrix(Returns-RF)
zm<-as.matrix(VWRET-RF)
res <- gmm(z ~ zm, x = zm)
coef(res)


-- 

Sherlene Enriquez-Savery, Doctoral Candidate

Department of Mathematics & Statistics

University of South Florida
4202 East Fowler Avenue
Tampa,FL, 33620

(813) 974-5439

(813) 974 6126 Fax

ssenriqu@usf.edu

ssenriqu@mail.usf.edu

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