Search found 12 matches

by Mihailo Savic
Sun Feb 25, 2018 8:45 pm
Forum: Econometric Discussions
Topic: Solving Serial Correlation without Y(-1)
Replies: 5
Views: 475

Re: Solving Serial Correlation without Y(-1)

Thanks for the response, I am using a simple Yt = a + b*Xt +Ut model, where Yt are profits and Xt are revenues at time t and b is the coefficient beta. I have a tested party "i". For "i" I can calculate the beta of "i". I also have multiple comparable parties c1, c2, c3...
by Mihailo Savic
Sun Feb 25, 2018 10:38 am
Forum: Econometric Discussions
Topic: Solving Serial Correlation without Y(-1)
Replies: 5
Views: 475

Re: Solving Serial Correlation without Y(-1)

This is not a homework assignment... If any one could provide me with a method that solves serial correlation that doesn't involve a lagged dependent variable in the regression, that would be very helpful. It would also be helpful to tell me if anyone believes that such a method may not exit at all....
by Mihailo Savic
Sat Feb 24, 2018 2:25 pm
Forum: Econometric Discussions
Topic: Solving Serial Correlation without Y(-1)
Replies: 5
Views: 475

Solving Serial Correlation without Y(-1)

Hello, I am running a simple Yt = c + bXt + Ut model. My Durbin-Watson statistic is very low DW < dL, meaning that i have serial correlation. One way to solve this is with the first difference model or a Cochrane - Orcutt model, where I would transform my model into: Yt - rYt-1 = c(1-r) + b(Xt - rXt...
by Mihailo Savic
Thu Feb 01, 2018 10:06 am
Forum: Programming
Topic: How to run a time series model on panel data?
Replies: 15
Views: 1439

Re: How to run a time series model on panel data?

Finally, Everything works perfectly! Thank you so much! This is the final product: matrix ((@rows(gvkey))/38,7) eq1_m matrix ((@rows(gvkey))/38,9) eq2_m matrix ((@rows(gvkey))/38,11) eq3_m matrix ((@rows(gvkey))/38,9) eq4_m matrix ((@rows(gvkey))/38,2) ys_adf scalar rows=@rows(gvkey) scalar i=1 scal...
by Mihailo Savic
Thu Feb 01, 2018 9:10 am
Forum: Programming
Topic: How to run a time series model on panel data?
Replies: 15
Views: 1439

Re: How to run a time series model on panel data?

Hello, I have attached the work file. If you open any eq you will see that the stats are there but the residuals aren't. Also, I am currently trying to save those equations in a matrix but other then the rbar2 nothing else is saving: matrix ((@rows(gvkey))/38,9) eq1_m matrix ((@rows(gvkey))/38,2) ys...
by Mihailo Savic
Thu Feb 01, 2018 7:30 am
Forum: Programming
Topic: How to run a time series model on panel data?
Replies: 15
Views: 1439

Re: How to run a time series model on panel data?

I open my ~30 company data. I run the program. I open one of the calculated equations and I get this: Dependent Variable: Y15580 Method: Least Squares Date: 02/01/18 Time: 09:13 Sample: 1 957 IF GVKEY=GVK Included observations: 32 Variable Coefficient Std. Error t-Statistic Prob. C 0.926976 0.496468...
by Mihailo Savic
Wed Jan 31, 2018 11:09 am
Forum: Programming
Topic: How to run a time series model on panel data?
Replies: 15
Views: 1439

Re: How to run a time series model on panel data?

For the code that I wrote (calculate ls y c y(-1) x... per company) I get my equations for each of the companies. I open the results (object) and everything is there, but when I look at the "Resids" tab in the object it doesn't show me anything.
by Mihailo Savic
Wed Jan 31, 2018 11:04 am
Forum: Programming
Topic: How to run a time series model on panel data?
Replies: 15
Views: 1439

Re: How to run a time series model on panel data?

Thank you again! One more question, for some reason I cannot see any of the residuals on the equations that I get. Number of obs per company should be 31 (as the results properly show) but the residuals show nothing and it says that the number of obs for residuals is 983 (which is as if it is not lo...
by Mihailo Savic
Wed Jan 31, 2018 10:24 am
Forum: Programming
Topic: How to run a time series model on panel data?
Replies: 15
Views: 1439

Re: How to run a time series model on panel data?

Thank you!

I "freeze"d the adftable and put it into a matrix and then exported it like you said. It worked.

But how do I freeze the equations of my ls equations? What is the command to freeze them to build the matrices?
by Mihailo Savic
Wed Jan 31, 2018 10:03 am
Forum: Programming
Topic: How to run a time series model on panel data?
Replies: 15
Views: 1439

Re: How to run a time series model on panel data?

I believe I figured out how to calculate what I need, but I am still having trouble exporting all of the results to an excel sheet. I want the excel sheet to contain The GVKEY Company name coefficients for all of my variables (and intercept), the t values, adjusted R^2, SE, and the t stat from the A...
by Mihailo Savic
Mon Jan 29, 2018 11:07 am
Forum: Programming
Topic: How to run a time series model on panel data?
Replies: 15
Views: 1439

Re: How to run a time series model on panel data?

Thank you Gareth,

Would you mind being more specific as to how I would do this. How do I tell the program to check through the GVKEYs? Also will it still run the regression for all y and y(-1) each time (which I don't want it to do) or just for the ones that are associated with one GVKEY?

Mihailo.
by Mihailo Savic
Mon Jan 29, 2018 10:24 am
Forum: Programming
Topic: How to run a time series model on panel data?
Replies: 15
Views: 1439

How to run a time series model on panel data?

Hello, I have financial data of 40+ companies for 20+ years in an excel sheet. What I want to do is run a few time series regressions and tests (1. log(y)= c + b1*(log(y(-1))); 2. log(y)= c + b1*(log(y(-1))) + b2*x; Dickey Fuller for log(y(-1))). How do I most easily do this for all 40+ companies wi...

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