Stability Coefficients

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: 1
Joined: Thu May 23, 2019 2:57 pm

Stability Coefficients

Postby panos_rap » Thu May 23, 2019 3:20 pm


Im trying to wright my thesis "Stability of Beta for stocks and portfolios"

i estimate beta coefficient by Market Model (CAPM) Ri = Rf+beta(Rm-Rf)

I run this regression and i estimate beta and i want to check the stability in time from 2000 until 2018 i have daily obsarvations of returns, anyway i want to check the stability with CUSUM test but when i run the cusum test this tested both coefficient (Rf) and (beta)....its possible to check with cusum test only (beta) coefficient?

Thanks in advance

Return to “Estimation”

Who is online

Users browsing this forum: Google [Bot] and 5 guests