I have a series of 31 portfolio returns and 400 firm level stock returns and I want to estimate all the returns using the model
Rit = αj + βetRMt + βeteuroRMDDeurot + βerXRt + βereuroXRDeurot + βitSRt + βiteuroSRDeurot + βltLRt + βlteuroLRDeurot + εt
I also need to use Newey West to adjust the errors to make them HAC. For the diagnostics, I want to display the Jarque Bera statistics, LM for serial on correlation, DW, ARCH test in addition to the usual regression parameters such as R-squared, F stat etc.
I have tried using a programme to run all 31 portfolios at once but its not working.
Also I want to use the same model to perform theAR(1)E-GARCH(1,1)-M analsis using a t disribution and showing the ARCH test, Jarque Bera statistics.
And once I've done it, how do I export the results on excel without having the format data problem?
Many thanks in advance for your assistance.
molugbode
PROGRAMMING FOR OLS AND AR(1) EGARCH-M
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Re: PROGRAMMING FOR OLS AND AR(1) EGARCH-M
You might receive better help if you were able to post your program so far, and also indicate how it is not working.
Also, posting your data is always helpful.
Also, posting your data is always helpful.
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Re: PROGRAMMING FOR OLS AND AR(1) EGARCH-M
I'm just learning to use the programme so I don't have much at all.
DO_eql.ls aero to TRAVLEIS =FTALLSH to BRYDDUM
I have uploaded some of my data. Your assistance with this is highly appreciated.
Molugbode
DO_eql.ls aero to TRAVLEIS =FTALLSH to BRYDDUM
I have uploaded some of my data. Your assistance with this is highly appreciated.
Molugbode
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