Search found 5 matches

by Zausel
Mon Oct 19, 2009 12:30 pm
Forum: Programming
Topic: wald test save results
Replies: 1
Views: 3282

wald test save results

How can i save just the chi-square- and probability-value when i integrate the Wald test in a program?

eq1.wald c(2)=0, c(3)=0

Thanks for your help
by Zausel
Thu Oct 15, 2009 8:04 am
Forum: Programming
Topic: Wald-Test /F-Test for a set of regressions
Replies: 4
Views: 14622

Re: Wald-Test /F-Test for a set of regressions

one more question regarding wald test....to get help would be really great! When i set up the system and run an seemingly unrelated regression, does it matter to do it with 25 or 300 time series in terms of the quality of my results? Additionally i run the regression für 300 investment funds. Becaus...
by Zausel
Fri Oct 09, 2009 3:46 am
Forum: Programming
Topic: Wald-Test /F-Test for a set of regressions
Replies: 4
Views: 14622

Re: Wald-Test /F-Test for a set of regressions

Thanks for the quick response. Could you please tell me one further thing: Why are my results (alpha, p-values) from the regression equation eq_{%name}.ls(n) {%name} c msci_world different from the results i get by executing the regression in a system ("seemingly unreleated regression"). i...
by Zausel
Thu Oct 08, 2009 6:20 am
Forum: Programming
Topic: Wald-Test /F-Test for a set of regressions
Replies: 4
Views: 14622

Wald-Test /F-Test for a set of regressions

Hi, i have the following problem....would be great if someone can help My plan is to test if my international benchmakr is efficient. So i take the constituents of my benchmark, in this case time series for 23 countries and run each country against my international benchmark (msci_world): equation e...
by Zausel
Sun Oct 04, 2009 2:45 pm
Forum: Programming
Topic: Newey West HAC in command line
Replies: 1
Views: 4453

Newey West HAC in command line

I have a question regarding Newey West standard erros. I have a simple regression code to run ols for 23 country Index funds: for !i = 1 to country.@count %name = country.@seriesname(!i) equation eq_{%name}.ls {%name} c msci_world next Which code can i use that the Newey West standard errors are aut...

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