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Hi there, For my master thesis I am testing (stock) momentum returns under different asset pricing models, which basically comes down to calculate whether returns generated from a momentum strategy are more than zero. That is what I tested, and my hypotheses were confirmed. However, my professor sai...

Hi all, For time-series OLS regressions I was taught to test for heteroskedasticity (Breusch-Pagan or White test), autocorrelation (Breusch-Godfrey or Durbin-Watson tets), and multicollinearity (compute Variance Inflation Factor). Also, I was taught how to control for these in Evies. So far so good ...

Thanks for your reply! So what would be the solution? How else can I control for time-fixed effects?

Hi there, I'm doing a panel data regression with both time- as cross-section fixed effects. However, I get a near singular matrix error and I have the idea that that is because I imported my data wrongly. Simply said, I am measuring the influence of past stock performance on future stock performance...

No one? :(

Hi all, I've got a large dataset with monthly stock returns of 350 companies, which I want to correct for risk using Fama-French's method (or Carhart, for that matter). I know how to do regressions, but what would happen is that I run a regression per company, leaving me with the alpha and the betas...