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
Need Help regarding implementation of Market Model
Moderators: EViews Gareth, EViews Jason, EViews Steve, EViews Moderator
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- Posts: 3
- Joined: Wed Jul 11, 2018 4:32 am
Re: Need Help regarding implementation of Market Model
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
2. For estimation, Is suggest reading the EViews User's guide found under "Help->PDF Docs"
Good Luck!
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!
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- Posts: 3
- Joined: Wed Jul 11, 2018 4:32 am
Re: Need Help regarding implementation of Market Model
Thank yo so much for the help sir.
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