Search found 3 matches

by hmurphy94
Tue Aug 22, 2017 6:43 am
Forum: Econometric Discussions
Topic: Fall Dummy variable for SAD hypothesis
Replies: 3
Views: 99

Re: Fall Dummy variable for SAD hypothesis

hi thank you for your response. however, when trying to make the dummy variable between the 21st december and the 20th match, all values are 0? is this because the dummy is spanning over different calendar years? the same thing happened when i tried to the a dummy from the 21st sept to 20th march. d...
by hmurphy94
Fri Aug 11, 2017 4:58 am
Forum: Econometric Discussions
Topic: Fall Dummy variable for SAD hypothesis
Replies: 3
Views: 99

Fall Dummy variable for SAD hypothesis

hi i have daily data to test the see composite index. i want to create a dummy variable that equals 1 between 21st of september and 20th december, and one that equals 1 between 21st december and 20th march for all years. however, i seem to be only able to create it for one year of the sample using s...
by hmurphy94
Wed Aug 09, 2017 5:48 am
Forum: Econometric Discussions
Topic: date frequency
Replies: 0
Views: 53

date frequency

hi i am doing a thesis that tests the day of the week effect and the january effect on the sse composite index. i have conducted the tests for d-o-t-w and i have followed the frequency conversion slides to change my daily first difference log returns into the average for each month. my question is, ...

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