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Ok, resampling gives me a new resample for the return of the stock. However, I do not know how I get the know t-statistic, whereby in the numerator should be the (new resampled) return of the stock minus the return on the benchmark? Can someone please comment on that and give detailed instructions o...

Maybe I need to give you some more information on what I want to do. I want to calculate the abnormal return between a stock and a benchmark portfolio. As the stock returns are positively skewed, the t-statistic is likely to be wrong and this is why I need to apply the bootstrapped skewness adjusted...

Hi,

does anyone know if Eviews can calculate a bootstrapped skewness adjusted t-statistic. The formula should look something like the one in the attached wordfile.

Thx.

we have worked the problem out with the following solution c = 0 equation eq7.ls dlcol_sva = c(1) + (exp(c(2))/(1+exp(c(2))) * (dlhotelr_ind - dlus_s_va)) + (exp(c(3))/(1+exp(c(3))) * (dloffr_ind - dlus_s_va)) + (exp(c(4))/(1+exp(c(4))) * (dlresr_ind - dlus_s_va)) + (exp(c(5))/(1+exp(c(5))) * (dlspe...

please see equation 4 of the attached workfile

I do not understand the commment as exp(x) / (exp (x) + exp (y)) and exp(y) / (exp (x) + exp (y)) should in my opinion nevertheless be one (at least in excel they are). Can you please explain in more detail? Can you for sure confirm that Eviews is able to work in those constraints in the regression ...

we have plugged in the following formula but the coefficients still do not add up to 1 - any suggestions?

dlcolonial_prop_apt = (exp(c(2))/(exp(c(2))+exp(c(3))))*dlhotelreits_ind+ (exp(c(3))/(exp(c(2))+exp(c(3))))*dloffreits_ind

Gareth can you please clarifiy how the "hack" works. It do not in particular understand the exp in this context. thx

Code: Select all
ai = exp( bi ) / ( exp( b1 ) + exp( b2 ) + ... + exp( bk ) )

Hi,

we are trying to do add two contstraints to a linear regression so that all coefficients sum up to 1 and that all coefficients are positive. Can anyone help?

Thanks.