Collecting statistics from multiple regressions
Posted: Wed Jun 07, 2017 12:00 am
Dear all,
For my research I am estimating a classical capital market model R=a+b(Rm-Rf)+e where a, b and E are alpha, beta and epsilon for ca 500 firms over 5 years. I have daily data for all the returns, but I want to collect the alpha, beta, epsilon as well as the r squared for each firm over a year. Does anyone know the commands or the shortcut to do this?
Thanks in advance
Jorrit van der Windt
p.s. I am using eviews 9 and a panel data set
For my research I am estimating a classical capital market model R=a+b(Rm-Rf)+e where a, b and E are alpha, beta and epsilon for ca 500 firms over 5 years. I have daily data for all the returns, but I want to collect the alpha, beta, epsilon as well as the r squared for each firm over a year. Does anyone know the commands or the shortcut to do this?
Thanks in advance
Jorrit van der Windt
p.s. I am using eviews 9 and a panel data set