Recent content by nyc1982

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    Looking for the right model of non-stationary asset market variables

    My mistake. I'll move to Regression Analysis forum. Thanks.
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    Looking for the right model of non-stationary asset market variables

    I need help finding an appropriate model given the below criteria. Objective: to derive fitted value for front-month gold futures prices (dependent variable) based on cross-asset market independent variables. All variables are non-stationary per Augmented Dickey-Fuller testing. I would like...
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    Cointegration of two time series

    Hello - this is more of a conceptual question. I'm whether a linear relationship exists between two time series: short-term interest rate differential of U.S. and U.K. and the GBP/USD exchange rate where observations are taken on a daily frequency since 2015. I ran Dickey-Fuller test on both...
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    Mixed frequency regression analysis

    I could, but obviously the downside would be that the number of observations would decrease (assuming I don’t increase the time period), and therefore lose some information value. I would like to keep it to daily data but to treat the monthly data releases (we can think of % surprise) as shocks...
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    Mixed frequency regression analysis

    I'm creating a multi-factor linear regression model for daily soybean futures prices (dependent variable). Most of the independent variables are daily (i.e., corn futures prices, crude oil prices, etc.). However, I would like to include some variables that are of either weekly or monthly...