PROGRAMMING FOR OLS AND AR(1) EGARCH-M
Posted: Mon Jun 01, 2009 9:01 am
I have a series of 31 portfolio returns and 400 firm level stock returns and I want to estimate all the returns using the model
Rit = αj + βetRMt + βeteuroRMDDeurot + βerXRt + βereuroXRDeurot + βitSRt + βiteuroSRDeurot + βltLRt + βlteuroLRDeurot + εt
I also need to use Newey West to adjust the errors to make them HAC. For the diagnostics, I want to display the Jarque Bera statistics, LM for serial on correlation, DW, ARCH test in addition to the usual regression parameters such as R-squared, F stat etc.
I have tried using a programme to run all 31 portfolios at once but its not working.
Also I want to use the same model to perform theAR(1)E-GARCH(1,1)-M analsis using a t disribution and showing the ARCH test, Jarque Bera statistics.
And once I've done it, how do I export the results on excel without having the format data problem?
Many thanks in advance for your assistance.
molugbode
Rit = αj + βetRMt + βeteuroRMDDeurot + βerXRt + βereuroXRDeurot + βitSRt + βiteuroSRDeurot + βltLRt + βlteuroLRDeurot + εt
I also need to use Newey West to adjust the errors to make them HAC. For the diagnostics, I want to display the Jarque Bera statistics, LM for serial on correlation, DW, ARCH test in addition to the usual regression parameters such as R-squared, F stat etc.
I have tried using a programme to run all 31 portfolios at once but its not working.
Also I want to use the same model to perform theAR(1)E-GARCH(1,1)-M analsis using a t disribution and showing the ARCH test, Jarque Bera statistics.
And once I've done it, how do I export the results on excel without having the format data problem?
Many thanks in advance for your assistance.
molugbode