insufficient number of observations

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

insufficient number of observations

Postby MAK » Sat May 20, 2017 5:10 pm

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
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conditional CAPMf1f0.WF1
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