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by ziki6368
Tue Jun 05, 2012 5:58 am
Forum: Estimation
Topic: Manipulating estimated coefficients
Replies: 1
Views: 1560

Manipulating estimated coefficients

Hi, I made a expanding window forecast for the stock return(exstock) against (yspr(-1)). Now what i want is: if the estimation coefficient is positive we keep it and when it is negative we set it to zero for the recursive forecast, so that there will be no forecast power. In this way, we can reduce ...

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