Re-estimating the regression coefficient

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.

Moderators: EViews Gareth, EViews Moderator

Posts: 2
Joined: Sun Apr 29, 2018 12:54 am

Re-estimating the regression coefficient

Postby ameridian » Mon Apr 30, 2018 6:37 am

I'm currently studying the impact of inflation on stock return.I found a positive relationship,inflation variable having a coefficient of 1.54.So,basically,when inflation grows with 1%,stock return grows with 1.54%.I'm thinking that this relationship cannot exist economically speaking at any value of inflation.For example if inflation grows with 50%,the return should grow with 77% percent,which is highly unlikely.So,my question,is there any way i can estimate in eviews an interval or a limit over which the impact will be negative,or even 0?For example if inflation grows over 10% the coefficient becomes negative?I'm using eviews 9.5 and my regresion is using monthly data from 1997 to 2017.The model that I use is GARCH(1,1).I was thinking about using simulations but i don't know exactly how to do it and if this is the correct approach.I'm new in the field of econometrics,so if my question may seem ambiguous or wrong i apologise.

Non-normality and collinearity are NOT problems!
Posts: 3337
Joined: Wed Sep 17, 2008 2:25 pm

Re: Re-estimating the regression coefficient

Postby startz » Mon Apr 30, 2018 8:08 am

You could do something like

Code: Select all

ls r c inf (inf>.10)*inf

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 10 guests