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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startz
Non-normality and collinearity are NOT problems!
Posts: 3175
Joined: Wed Sep 17, 2008 2:25 pm

Re: Regression: conditional CAPM with indicator as an instrument

Postby startz » Sun Jul 23, 2017 2:19 pm

I don't understand where the numbers are from.

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 2:24 pm

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Last edited by DAMDOS94 on Wed Jul 26, 2017 1:32 pm, edited 1 time in total.

startz
Non-normality and collinearity are NOT problems!
Posts: 3175
Joined: Wed Sep 17, 2008 2:25 pm

Re: Regression: conditional CAPM with indicator as an instrument

Postby startz » Sun Jul 23, 2017 5:04 pm

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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