Search found 6 matches

by teho
Tue Apr 17, 2012 10:37 am
Forum: Econometric Discussions
Topic: Calculating portfolio weights from regression coefficients
Replies: 0
Views: 1852

Calculating portfolio weights from regression coefficients

Hi, I have a regression made, and the regression coefficients equal the portfolio weights I need. If the coefficients are following, there's no problem obviously in calculations: coefficients: b1=4 b2=5 weights: w1=4/9 w2=5/9 However, if one of the coefficients is negative, how do i calculate the we...
by teho
Tue Apr 17, 2012 10:35 am
Forum: Econometric Discussions
Topic: t-values for averages
Replies: 1
Views: 2193

Re: t-values for averages

any ideas?
by teho
Thu Mar 29, 2012 4:39 pm
Forum: Econometric Discussions
Topic: t-values for averages
Replies: 1
Views: 2193

t-values for averages

I have data for 10 countries and I have calculated correlations across these countries portfolio returns.. Now I have t-values for these individual countries' correlations, but if I'd like to calculate averages, how can the t-value number be achieved? Obviously I can take an average of the correlati...
by teho
Mon Feb 20, 2012 11:48 am
Forum: Estimation
Topic: out-of-sample testing of a regression
Replies: 5
Views: 4288

Re: out-of-sample testing of a regression

I Was wondering if it's possible to calculate R^2 for the model and t-values for coefficients, even though they are fixed. have to survive with the statistics given, thanks!
by teho
Mon Feb 20, 2012 8:14 am
Forum: Estimation
Topic: out-of-sample testing of a regression
Replies: 5
Views: 4288

Re: out-of-sample testing of a regression

Is it possible to get t-statistics and R2 values for the forecasted model?
by teho
Fri Feb 17, 2012 3:09 am
Forum: Estimation
Topic: out-of-sample testing of a regression
Replies: 5
Views: 4288

out-of-sample testing of a regression

I'd like to test my regression model out-of-sample, so I've run an OLS regression for period 2000-2005. I'd like to test the coefficients from this equation in the dataset between 2005-2010. How could the coefficients be fixed in the new regression using data from 2005-2010, so that I'm able to know...

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