Need Help regarding implementation of Market Model

For questions regarding the import, export and manipulation of data in EViews, including graphing and basic statistics.

Moderators: EViews Gareth, EViews Steve, EViews Jason, EViews Moderator, EViews Pamela

raheelasif
Posts: 1
Joined: Wed Jul 11, 2018 4:32 am

Need Help regarding implementation of Market Model

Postby raheelasif » Wed Jul 11, 2018 8:05 am

Dear Sir,

I am a new user on Eviews. Just started 10 days before.

I have a detailed question regarding the basic estimation with eviews.

i need general guidelines:

I want to estimate the Market models as under:

Returns of exporting firms = alpha + beta1 * residuals of the auxillary regression eq 2 + beta 2 * daily rate of change in Rouble to Euro + beta 3 * daily rate of change in Rouble to USD + dummy 1 for January effect + Dummy 2 December effect + Dummy 3 to Introduction to euro + Dummy 4 Intro to EU + error term ........................(Equation 1)


Returns from equally weighted portfolio of domestic firms = aplha + beta 2 * daily rate of change in Rouble to Euro + beta 3 * daily rate of change in Rouble to USD + residuals of this auxillary regression (equation 2)

Data Set:


1. I have the daily return data of 27 Domestic and 08 exporting firms of Russia from 01/09/1995 to 30/06/2018.

1. I have a daily ER data for both Rouble to Euro and Rouble to USD from 01/09/1995 to 30/06/2018.

First i want to know how can i construct an equally weighted portfolio of 27 domestic firms of equation 2 above. I want to construct equally weighted portfolio.

second how i can construct equally weighted portfolio for 08 exporting firms same as above.

Third how i can run the above 02 equations in eview.

I am just the beginner. If you can share any material or link that can help me in doing this regression.

Please help.

Regards,

Raheel Asif

lgehrig
Posts: 12
Joined: Fri Mar 17, 2017 8:10 am

Re: Need Help regarding implementation of Market Model

Postby lgehrig » Fri Jul 13, 2018 2:42 am

Not intending to solve your problemsets for you, here's a few general tips:
1. Use groups to get your weighted returns. Use wildcards "*" "?" to intelligently group your domestic firms

Code: Select all

group g_domestic [domesticfirmsidentifier]*
series domesticmean= @rmean(g_domestic)


2. For estimation, Is suggest reading the EViews User's guide found under "Help->PDF Docs"

Good Luck!


Return to “Data Manipulation”

Who is online

Users browsing this forum: No registered users and 3 guests