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Hello, because I am new to this topic has seen someone paper for causality or a simillar approach bewween dummies?

Thanks...

Yes the equations already estimated. But the problem is that I have about 100 b (b1 b2 b3 ... b100) from monte carlo simulation I want to check all of this with the first b1. On the other hand, the basic problem is that I have some equations from quantile regression...

The problem is that I have beta coefficients from guantile regression... and this is not easy to do something like this.

Thanks...

Is there any other idea?

Hello guys, I want to estimate the Cov(b1,b2) from the models below:

y=a1+b1X1
y=a2+b2X2

Do you know how to do this?
Ps. I want to check if H1:b1=b2 or H2:b1#b2, for t-test=(b1-b2)/sqrt(Var(b1)+Var(b2)-2Cov(b1,b2))

Is there an other way to do this?

Thanks, I will try and I will tell you the results...

wach the link below: http://www.utstat.utoronto.ca/keith/papers/robusthill.pdf (see Introduction 1), Hille estimator, in finance, modeling the tails of the distribution of returns is important in the evaluation of risk (Embrechts et al.,1997; Brooks et al., 2005).. I find the routine in phoroum but ...

Nobody?

Hello guys do you know how I compute Hill's estimate? The routine bellow does not work and I can not find why... ' compute Hill's estimate subroutine local hill(scalar hill, series x, scalar m) ' get indices stom(x, xvec) vector xranks= @ranks(xvec) vector m vector xtemp ' get first m observations o...