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
For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.
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