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The R2 is calculated using the difference in the SSR between the full model you estimated and a model with a common intercept only. I'm not certain I understand your question about the LM test, but Gareth's program should compute the right thing. Glenn thank for your answer. I thought that you mean...

You're fine on the period effects. They'll be at the quarter level. If you go to the View menu you'll see an entry Fixed/Random Effects, where you can look at the estimated values. I wouldn't really look at the DW stat. You're better off doing an LM style test (we don't do it automatically, but it'...

Does your YEAR variable indicate Year and Quarter? The built-in period effects will be for whatever is defined by YEAR. Glenn Hello Thanks for your help. Yes. Year is both. 2009Q1 2009Q2 2009Q3 (...) 2011Q4 so I do not need the dummies... Am I right? I put fixed effects on period and cross section ...

When you click on the Proc/ Structure/Resize Curent Page in the current workfile, what does it say?

Hello Glenn

I have attached a frame of what appears when I do that..

. What do you think? There is no need for the dummies, right?

Thanks for your help

Hello, Sorry to get into your question but I am having a similar problem. I am doing a panel data again. And I am having the same problem as before. I m using Eview 7. I am picking up from Excel the panel data The columns are: Year/Quarter (eg 2001q1, 2001q2), Firm, EBITDA... etc... i have dummies f...

Hello, I am doing a panel data again. And I am having the same problem as before. I m using Eview 7. I am picking up from Excel the panel data The columns are: Year/Quarter (eg 2001q1, 2001q2), Firm, EBITDA... etc... i have dummies for the years and the quarters Im using the "basic structure&qu...

One dummy for winter, one for spring, etc. As opposed to one dummy for winter 1990, one for winter 1991, etc. Ahh ok. I am doing that also. Can you help me with a question that I ask earlier? If i put "Period fixed effects" I do not need to put any dummy to control "quarter or year&q...

Odds are that the original article had a dummy for each year and seasonal dummies for the quarters, as opposed to a dummyfor each quarter in the sample. Hi Startz What do you mean by "the original article had a dummy for each year and seasonal dummies for the quarters, as opposed to a dummyfor...

The fact that you are dropping a single dummy doesn't mean you don't still have perfect collinearity due to the dummy variables. Period fixed effects will control for each period, yes. Great! Thank you again! So to be sure (I am a little slow :)) If i put "Period fixed effects" I do not n...

1) Probably a dummy variable trap. 2) Not sure what you're asking, but period fixed effects means an effect for every period. If you have quarterly data, then it will be an effect for each quarter in your sample. 3) Hard for us to say. Thank so much for your help! Let me explain myself a little bet...

Hello, Its being a long time since I have done a Panel Data regression. I have the following questions. I have 3 variables information (one is the dependent: "Price") of 8 companies for a period of 3 years (4 quarters). (First comment: I think there is not enough data) The paper that I am ...

Im trying to introduce dummy variable of newspapers (Thats a daily variable) into intraday data. And i have no idea. Because the newspapers are out at 5.am and the market is open between 10am and 3pm. Any help?? Someone recomended me " Macroeconomic News and Bond Market Volatility by Jones, Lam...

Hi,

im using a GARCH model (1,1). That with a Normal Error Distribution its gives an alpha + beta greater than 1. And with a Student (with 3 df) gives an alpha + beta < 1.
Why is that?

Thanks a lot

Gaston

Hey Jim, Thanks for your comment. You mean that the reason why im getting an alpha + beta bigger than 1 is caused by the intraday noise? Thats probably why i get an R2,, negative? and R2 negative means that the curve to fit is worst than a horizontal straight line? im going to try to get that paper ...

Im planning the typical exercise of returns (on exchange rates) and news coming into the market. Im planning to use a GARCH (1,1). And the news variable is news paper headlines with the phrases "crisis, etc". Im planning to use dummy variables. I have two questions: 1) alpha + beta is more...