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- 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 ...
