Estimating fama and french's (2002) earnings non linear partial adjustment model

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

fau
Posts: 1
Joined: Mon Sep 12, 2016 7:22 am

Estimating fama and french's (2002) earnings non linear partial adjustment model

Postby fau » Mon Sep 12, 2016 7:31 am

Hi.

I am a Master's students and am invetigating the effect of dividend policy on earnings. I, however controlled for the non linear mean reversion process of earnings as well as the non linearity in the autocorrelation between past and future earnings. I am very new to Eviews and i honestly do not know how to put this equation into Eviews:

∆E=α+β_1 ∆DPR +y_1 DFE +y_2 NDFE_i ,_t+y_3 SNDFE_i ,_t+y_4 SPDFE_i ,_t+ω_1 CE_i ,_t + ω_2 NCE_i ,_t+ω_3 SNCE_i ,_t+ω_4 SPCE_i ,_t+ε

Your assistance will be appreciated. I could not put the squared values prorperly

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests