I am trying to test if the intercepts of two linear regressions models differ significantly. I have return data of two portfolios (same time period and both monthly) and regressed each of them on the same independent variables (Fama/French factors for this time period). Now I have two different intercepts.
My question is, how do I test if these differ significantly?
This is probably fairly easy. I found this questions, which sounds pretty much like the thing I want to do, but I am not really sure if a Chow test works in this situation. I also found multiple other questions that are comparable but since different tests were recommended I am not sure which one fits (best). I looked at this and this but those are probably more difficult than what needs to be done in my case.