Hi. I am estimating a conditional CAPM model where I am using the MRP(-1) up (f1) and down (f0) as conditions.
to estimate beta in up, I have
r c mrp equation and the conditioning is f1 which is the lag excess market return i.e. MRP(-1) if it is positive, otherwise zero
to estimate beta in down, I have
r c mrp equation and the condition is f0 which is the lag excess market return i.e. MRP(-1) if it is negative, otherwise zero
with f1, estimates the model but with f0 it gives 'insufficient number of observations' error.
I am using Eviews 9
Insufficient no of observations
Moderators: EViews Gareth, EViews Moderator
Insufficient no of observations
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Re: Insufficient no of observations
I'm not sure what you mean by "conditioning." But if you mean you are using f0 as a weight, you can't have negative weights.
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