Regression

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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DAMDOS94
Posts: 9
Joined: Tue Jul 18, 2017 1:27 pm

Regression

Postby DAMDOS94 » Wed Jul 19, 2017 6:47 am

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Last edited by DAMDOS94 on Mon Jul 24, 2017 1:02 pm, edited 2 times in total.

startz
Non-normality and collinearity are NOT problems!
Posts: 3172
Joined: Wed Sep 17, 2008 2:25 pm

Re: Regression: conditional CAPM with indicator as an instrument

Postby startz » Wed Jul 19, 2017 8:10 am

You have to use legal EViews variable names, but something like

Code: Select all

ls rw c i(-1) rm i(-1)*rm

DAMDOS94
Posts: 9
Joined: Tue Jul 18, 2017 1:27 pm

Re: Regression: conditional CAPM with indicator as an instrument

Postby DAMDOS94 » Wed Jul 19, 2017 8:28 am

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Last edited by DAMDOS94 on Wed Jul 26, 2017 1:30 pm, edited 1 time in total.

startz
Non-normality and collinearity are NOT problems!
Posts: 3172
Joined: Wed Sep 17, 2008 2:25 pm

Re: Regression: conditional CAPM with indicator as an instrument

Postby startz » Wed Jul 19, 2017 9:54 am

I think it corresponds to the equation numbered (2). Maybe I've missed something. What's the discrepancy?

DAMDOS94
Posts: 9
Joined: Tue Jul 18, 2017 1:27 pm

Re: Regression: conditional CAPM with indicator as an instrument

Postby DAMDOS94 » Thu Jul 20, 2017 2:27 pm

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Last edited by DAMDOS94 on Wed Jul 26, 2017 1:31 pm, edited 1 time in total.

startz
Non-normality and collinearity are NOT problems!
Posts: 3172
Joined: Wed Sep 17, 2008 2:25 pm

Re: Regression: conditional CAPM with indicator as an instrument

Postby startz » Thu Jul 20, 2017 3:41 pm

Just multiply out all the terms. I think you end up with six of them.

DAMDOS94
Posts: 9
Joined: Tue Jul 18, 2017 1:27 pm

Re: Regression: conditional CAPM with indicator as an instrument

Postby DAMDOS94 » Thu Jul 20, 2017 4:14 pm

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Last edited by DAMDOS94 on Wed Jul 26, 2017 1:31 pm, edited 2 times in total.

startz
Non-normality and collinearity are NOT problems!
Posts: 3172
Joined: Wed Sep 17, 2008 2:25 pm

Re: Regression: conditional CAPM with indicator as an instrument

Postby startz » Thu Jul 20, 2017 4:17 pm

You're right of course. Just enter those five terms in the regression.

DAMDOS94
Posts: 9
Joined: Tue Jul 18, 2017 1:27 pm

Re: Regression: conditional CAPM with indicator as an instrument

Postby DAMDOS94 » Fri Jul 21, 2017 5:50 am

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Last edited by DAMDOS94 on Wed Jul 26, 2017 1:31 pm, edited 1 time in total.

startz
Non-normality and collinearity are NOT problems!
Posts: 3172
Joined: Wed Sep 17, 2008 2:25 pm

Re: Regression: conditional CAPM with indicator as an instrument

Postby startz » Fri Jul 21, 2017 6:02 am

This might be a good time for you to read some of the tutorial material on EViews, either EViews Illustrated or other material available at the EViews website.

DAMDOS94
Posts: 9
Joined: Tue Jul 18, 2017 1:27 pm

Re: Regression: conditional CAPM with indicator as an instrument

Postby DAMDOS94 » Fri Jul 21, 2017 12:56 pm

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Last edited by DAMDOS94 on Wed Jul 26, 2017 1:31 pm, edited 1 time in total.

startz
Non-normality and collinearity are NOT problems!
Posts: 3172
Joined: Wed Sep 17, 2008 2:25 pm

Re: Regression: conditional CAPM with indicator as an instrument

Postby startz » Fri Jul 21, 2017 1:03 pm

Fully multiply out until you have five terms. Multiplication is done with the * operator. Then just list the five terms after the dependent variable.

DAMDOS94
Posts: 9
Joined: Tue Jul 18, 2017 1:27 pm

Re: Regression: conditional CAPM with indicator as an instrument

Postby DAMDOS94 » Fri Jul 21, 2017 2:00 pm

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Last edited by DAMDOS94 on Wed Jul 26, 2017 1:31 pm, edited 1 time in total.

startz
Non-normality and collinearity are NOT problems!
Posts: 3172
Joined: Wed Sep 17, 2008 2:25 pm

Re: Regression: conditional CAPM with indicator as an instrument

Postby startz » Fri Jul 21, 2017 2:02 pm

You've posted an attachment that shows what the variables are!

DAMDOS94
Posts: 9
Joined: Tue Jul 18, 2017 1:27 pm

Re: Regression: conditional CAPM with indicator as an instrument

Postby DAMDOS94 » Sun Jul 23, 2017 2:10 pm

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Last edited by DAMDOS94 on Wed Jul 26, 2017 1:31 pm, edited 1 time in total.


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