Search found 6 matches

by png1
Sun Jul 15, 2018 9:18 am
Forum: Data Manipulation
Topic: Correlation
Replies: 2
Views: 1276

Re: Correlation

That works! Thank you very much startz
by png1
Sun Jul 15, 2018 5:21 am
Forum: Data Manipulation
Topic: Correlation
Replies: 2
Views: 1276

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...
by png1
Wed Jul 11, 2018 4:31 am
Forum: Programming
Topic: Panel structure daily data
Replies: 2
Views: 675

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...
by png1
Tue Jul 10, 2018 8:49 am
Forum: Programming
Topic: Panel structure daily data
Replies: 2
Views: 675

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...
by png1
Tue Apr 10, 2018 12:54 pm
Forum: Econometric Discussions
Topic: Interval regression
Replies: 0
Views: 750

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 ...
by png1
Mon Jun 15, 2015 8:20 am
Forum: Estimation
Topic: Dimson Beta Correction
Replies: 0
Views: 1139

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 ...

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