Standard deviation of intercept in a multivariate regression

Question

Daniel Hooker 2017-2-8

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/323956-standard-deviation-of-intercept-in-a-multivariate-regression

回答： Faiz Gouri 2017-2-10

在 MATLAB Online 中打开

Hi,

I am currently performing some analysis on mutual fund performance using the regression equation:

Rit – Rft = αi + β0i(Rmt – Rft) + β1iSMBt + β2iHMLt + β3iMOMt + εit

I would like to perform t-tests on the alpha (intercept) for each fund and need to obtain the standard deviation for each alpha value for each fund to do so. So far I have used the following coding in order to obtain the alphas for each fund, but I am unsure how to obtain their standard deviations:

   for i=1:2377
   x=FUNDRETURNS(:,i); 
   y=isnan(x); 
   sy=sum(y); 
   x=x((sy+1):end);
   lx=length(x); 
   X=zeros(lx,5); 
   X(:,1)=ones(lx,1); 
   X(:,2:5)=Carhart4Factors((sy+1):end,:);
   beta=inv(X'*X)*X'*x; 
   alpha(i)=beta(1); 
end