## Search found 6 matches

Sun Jul 15, 2018 9:18 am
Forum: Data Manipulation
Topic: Correlation
Replies: 2
Views: 1256

### Re: Correlation

That works! Thank you very much startz
Sun Jul 15, 2018 5:21 am
Forum: Data Manipulation
Topic: Correlation
Replies: 2
Views: 1256

### Correlation

Hello, I want to calculate the correlation between two time series objects, which contain 10.000 daily observations. My workfile is unstructured and I want to calculate the correlation for each point in time (= each row) over the last 1000 observations and save the calculation in a new series object...
Wed Jul 11, 2018 4:31 am
Forum: Programming
Topic: Panel structure daily data
Replies: 2
Views: 647

### Re: Panel structure daily data

So far I do not declare a "real" data structure. I just label my series objects according to the content and point in time. This allows to compute the Fama French factors in a quite convenient way. Those factors resemble portfolios which are build once per year (end of june) based on a spe...
Tue Jul 10, 2018 8:49 am
Forum: Programming
Topic: Panel structure daily data
Replies: 2
Views: 647

### Panel structure daily data

Hello everybody, hope someone can help me out. For a variety of reasons, my data is structured the following way. Each row resembles a firm and each column resembles a point in time. That basically means that each series object contains the data of one variable of all firms for one point in time. Ea...
Tue Apr 10, 2018 12:54 pm
Forum: Econometric Discussions
Topic: Interval regression
Replies: 0
Views: 729

### Interval regression

Hello everybody, I have a question regarding an estimation procedure and I'm not quite sure about which one to use. I guess it could be some sort of an interval or quantile regression. One of my independent variable is an estimate and can take continous values between 0 and 1. We can't say for sure ...
Mon Jun 15, 2015 8:20 am
Forum: Estimation
Topic: Dimson Beta Correction
Replies: 0
Views: 1123

### Dimson Beta Correction

Hey guys, I have a sample of discret returns (return over 10 trading days) over a period of 3 years for x different firms (different timeframes, but the amount of returns is the same for each firm). My explanatory variable is an index. I performed a simple linear regression for the whole sample and ...