Search found 2 matches

by adampc
Mon Jun 22, 2009 8:18 am
Forum: Econometric Discussions
Topic: log the price index before unit root testing or not?
Replies: 2
Views: 6246

Re: log the price index before unit root testing or not?

Hi, I basically have a similar question. I have equity returns which I wish to regress on a quarterly basis. So I have quarterly returns for X (e.g. +2.5%, -3.4%, -0.2%, +5,7%) and for Y. My question is should I regress the quarterly returns against each other or shall I rebase it in an index form, ...
by adampc
Tue May 26, 2009 9:46 am
Forum: Econometric Discussions
Topic: Dissertation question - correlation/cointegration
Replies: 1
Views: 3961

Dissertation question - correlation/cointegration

Dear all, for my thesis I am looking at the relationship between an equity index and a few other indices which are not equity based. I intend to look at the correlation between them which is fine however, I am not sure how to go about looking into cointegration as I am fairly new to stats and am doi...

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