Bootstrapping and CAPM

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

cpeter9
Posts: 8
Joined: Tue Jun 16, 2009 11:17 am

Bootstrapping and CAPM

Postby cpeter9 » Sat Jun 20, 2009 9:58 pm

I'm trying to run CAPM estimations in EVIEWS. I want to create a bootstrapped distribution statistic to hypothesis test the beta coefficients produced. Does EVIEWS have any sort of built-in function for doing something like this?

trubador
Did you use forum search?
Posts: 1520
Joined: Thu Nov 20, 2008 12:04 pm

Re: Bootstrapping and CAPM

Postby trubador » Sun Jun 21, 2009 1:19 am

EViews provides you with a built-in resampling function as well as more than a dozen of statistical distributions. So you can easily write a short procedure of your own.


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests