How to get residual values

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How to get residual values

Postby SofieB » Thu Mar 28, 2013 2:33 am


Could someone help me with the following problem ?

I have an excel file with:
• Sheet 1: weekly returns on the stock from 1992 to 2012 (and this for 160 firms). In the columns are the different firms defined by their ISIN code. The rows are the weeks from the first week of 1992 until the last week of 2012.

• Sheet 2: the return on a market index in those weeks. In this file there is just one column: the return on the market index. The rows represent the weeks, again from the first week of 1992 until the last week of 2012.

For each firm I’m now interested in the residuals of the following equation:

rj,t = αj + β1 rm,(t-2) + β2 rm,(t-1) + β3 r(m,t) + β4 rm,(t+1) + β5 rm(t+2) + εjt

with rjt = the weekly return for firm j in week t
rmt = the return on the market index in week t

I’m actually only interested in the residuals because I need them to estimate the firm-specific weekly return for a firm in a week. (I need to do this for all 160 companies separately).

The problem is now that I don’t really now how to begin. Is my data in the right form in excel or do I have to organize it differently before I can input it in eviews? Is it possible to get all the residuals (per week) for all the firms in one file? If yes, how can I do this ?

I've uploaded the excel file but only with 20 firms, because the file was too large.

Weekly returns firms and market index.xls
(428.5 KiB) Downloaded 112 times

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