Regression
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- Non-normality and collinearity are NOT problems!
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Re: Regression: conditional CAPM with indicator as an instrument
You have to use legal EViews variable names, but something like
Code: Select all
ls rw c i(-1) rm i(-1)*rm
Re: Regression: conditional CAPM with indicator as an instrument
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Last edited by DAMDOS94 on Wed Jul 26, 2017 1:30 pm, edited 1 time in total.
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- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: Regression: conditional CAPM with indicator as an instrument
I think it corresponds to the equation numbered (2). Maybe I've missed something. What's the discrepancy?
Re: Regression: conditional CAPM with indicator as an instrument
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Last edited by DAMDOS94 on Wed Jul 26, 2017 1:31 pm, edited 1 time in total.
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- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: Regression: conditional CAPM with indicator as an instrument
Just multiply out all the terms. I think you end up with six of them.
Re: Regression: conditional CAPM with indicator as an instrument
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Last edited by DAMDOS94 on Wed Jul 26, 2017 1:31 pm, edited 2 times in total.
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- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: Regression: conditional CAPM with indicator as an instrument
You're right of course. Just enter those five terms in the regression.
Re: Regression: conditional CAPM with indicator as an instrument
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Last edited by DAMDOS94 on Wed Jul 26, 2017 1:31 pm, edited 1 time in total.
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- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: Regression: conditional CAPM with indicator as an instrument
This might be a good time for you to read some of the tutorial material on EViews, either EViews Illustrated or other material available at the EViews website.
Re: Regression: conditional CAPM with indicator as an instrument
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Last edited by DAMDOS94 on Wed Jul 26, 2017 1:31 pm, edited 1 time in total.
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- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: Regression: conditional CAPM with indicator as an instrument
Fully multiply out until you have five terms. Multiplication is done with the * operator. Then just list the five terms after the dependent variable.
Re: Regression: conditional CAPM with indicator as an instrument
.
Last edited by DAMDOS94 on Wed Jul 26, 2017 1:31 pm, edited 1 time in total.
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- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: Regression: conditional CAPM with indicator as an instrument
You've posted an attachment that shows what the variables are!
Re: Regression: conditional CAPM with indicator as an instrument
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Last edited by DAMDOS94 on Wed Jul 26, 2017 1:31 pm, edited 1 time in total.
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