How to restrict data sample (if function?)
Posted: Sun May 26, 2019 4:27 pm
Hi everyone, I'm doing some regressions for my thesis using only spot and forward exchange rates. ^
What I want to do now is to do separate estimations based on the movement of the spot rate (dependent variable):
Basically, one regression just for the periods when spot rate is increasing (and corresponding forward, obviously) and the same for decreasing spot rate.
It's ~20years of monthly data, so doing 2 separate database deleting the data that doesn't matter is not really a good option.
How can I do it?
What I want to do now is to do separate estimations based on the movement of the spot rate (dependent variable):
Basically, one regression just for the periods when spot rate is increasing (and corresponding forward, obviously) and the same for decreasing spot rate.
It's ~20years of monthly data, so doing 2 separate database deleting the data that doesn't matter is not really a good option.
How can I do it?