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- Sun Sep 21, 2014 10:25 am
- Forum: Econometric Discussions
- Topic: Choose model
- Replies: 0
- Views: 2374
Choose model
Hello,es I'm currently estimating three models : CAPM ,Fama French 3 and Cahart 4. Then, I'm using a wald test to choose the best model for my data. This is the 3 equations : CAPM (R − RF) = B1 + B2(RMKT − RF) C1 ( P-value > 0.05) C2 ( P-value < 0.05) R-Squared 85.55951% Fama french 3 (R − RF) = B1 ...