Insufficient no of observations

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

MAK
Posts: 15
Joined: Tue Oct 11, 2016 4:30 pm

Insufficient no of observations

Postby MAK » Sun May 28, 2017 6:23 am

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
Attachments
conditional capmf1f0.wf1
(1.18 MiB) Downloaded 176 times

startz
Non-normality and collinearity are NOT problems!
Posts: 3775
Joined: Wed Sep 17, 2008 2:25 pm

Re: Insufficient no of observations

Postby startz » Sun May 28, 2017 9:23 am

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.

MAK
Posts: 15
Joined: Tue Oct 11, 2016 4:30 pm

Re: Insufficient no of observations

Postby MAK » Sun May 28, 2017 12:26 pm

Thanks.


Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 27 guests