Regression
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 Nonnormality and collinearity are NOT problems!
 Posts: 3289
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Regression: conditional CAPM with indicator as an instrument
I don't understand where the numbers are from.
Re: Regression: conditional CAPM with indicator as an instrument
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Last edited by DAMDOS94 on Wed Jul 26, 2017 1:32 pm, edited 1 time in total.

 Nonnormality and collinearity are NOT problems!
 Posts: 3289
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Regression: conditional CAPM with indicator as an instrument
DAMDOS94 wrote:The numbers are from regression (2) then applied in regression (3), as I see in the first bracket of equation for regression 3: [α0 + αB · IB,t−1] so α0 is the C and αB · IB,t−1 is the alpha from regression (2) 0.024167*i(1).
If that's not the case then my estimation for regression 3 would be :
ls rw c i(1) rm i(1)*rm i(1)*x*rm . This seems too straight forward, but then again it might be the right equation...
What would you say?
My guess would be the straightforward version, although obviously I don't know what the original authors did.
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