Search found 5 matches

by Fatih
Tue Aug 22, 2017 12:44 am
Forum: Programming
Topic: Rolling Multiple Regression
Replies: 2
Views: 3511

Re: Rolling Multiple Regression

Run this code I found in the programming topics. I am too new to programming but it helped me a lot. I tried to explain as much as I could. matrix(number of independent variables+1 for the constant if you have one,1048) coefs equation eq for !i=1 to 1048 for !j=1 to 1048 if !i=!j then equation eq.ls...
by Fatih
Mon Aug 21, 2017 11:49 am
Forum: Programming
Topic: Running the same regression with different dependent and indepedent variables
Replies: 5
Views: 3680

Re: Running the same regression with different dependent and indepedent variables

Basically, it was a copy paste, but I used the first loop for the months. I have a daily dataset that runs from 2007 to 2013. For each month, I want to run a regression for specific companies using their specific financial rations. The "k" is used to choose the month between 2007 and 2013....
by Fatih
Sun Aug 20, 2017 1:56 pm
Forum: Programming
Topic: Running the same regression with different dependent and indepedent variables
Replies: 5
Views: 3680

Re: Running the same regression with different dependent and indepedent variables

For the topic mentioned above, I tried to write this code series year = @year !minyear = @min(year) series monthnum = @month + 12*(year-!minyear) !nummonths = @max(monthnum) matrix(3,48) coefs equation eq for !k=1 to !nummonths smpl if monthnum=!k for !i=1 to 48 for !j=1 to 48 for !t=1 to 48 if !i=!...
by Fatih
Tue Aug 15, 2017 12:42 am
Forum: Programming
Topic: Running the same regression with different dependent and indepedent variables
Replies: 5
Views: 3680

Running the same regression with different dependent and indepedent variables

Hello, I am new to this forum. And I need help about a regression I would like to run. The regression I would like to run is a time series equation. It is the Fama-French type.To be more specific, I would like to run Return(t) = c+ Volume(t) + Volatility(t)+Size(t) etc... I have hundreds of companie...

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