1. J

    Somewhat long introduction/explanation

    I wanted to stop by and intro myself with a sort of long introduction so that if you think I might be asking a lot of questions, here's why. I'm in the middle of this doctoral dissertation and I have a lot of PTSD and grief wrapped up in it. It's a complicated story so I'm going to try and...
  2. T

    T series stationarity

    hay guys, i'm working on garch models, but a cant turn my returns stationary. how can i do it? i've tried whit log return (logxt - logxt-1) but it doesn't work. r function: log.return<-dff(log(x)) i've implemented some test and these are the results: #######KPSS Test for Trend...
  3. N

    rollapply with Arima model: testing for stability of coefficients

    Hi everyone, I am trying to fit an arima model on a rolling window using rollapply.My aim is to plot a graph of the evolution of the coefficient, plot the error and the standard deviation. well i encountered the following problems: 1) each window in the roll apply have different set of...
  4. A

    individual-level random effects and the idiosyncratic error

    Can anyone explain how some of the explanatory variables could be correlated with individual-level random effects, but that none of the explanatory variables are correlated with the idiosyncratic error? How does that work? Could someone please provide an example? "The estimators implemented in...
  5. J

    A survey where participants circled at least one answer as the question asked

    I have surveys I am working on. One of the questions asks the participants to circle religious themes that appeals to them and also that they should circle all that apply. So some of the participants circled at least 2 options just because the question asked them to do so. How do i record this...
  6. A

    STATA - Finance - Portfolio Volatility

    Statistical package Please refer to the Statistical Package section for this post
  7. D

    Urgent Help needed regarding r1 Autocorrelation

    I'm searching from past 2 hours on the internet and I'm unable to find a solved example of calculating r1 first coefficient of correlation from the successive observations on timeline. Sixteen successive observations on a stationary time series are as follows: 1.6, 0.8, 1.2, 0.5, 0.9, 1.1, 1.1...
  8. L

    Modeling heteroskedasticity for dummies

    Hello there! Im trying to model heteroskedasticity with known form using MATLAB. The only source I found was a uni-variate example, but Im working with multiple-variate models. My questions are the...
  9. C

    Estimate the coefficients of an equation system - can I use OLS?

    Hi! I have not worked so much with this type of regressions and have tried to find the answer in my econometric books and on internet, but have unfortunately not had any luck. I appreciate all help I can get with this! Im using time series data to measure the rate of return of the inputs...
  10. S

    Proving variance of b0(hat)

    i have a question asking to prove (attached image): I'm completely stuck and any help would be appreciated. thanks
  11. C

    Stationarity vs. iid

    Hi all, I came across a statement about iid and stationarity which says that it is unrealistic to assume stock returns to be i.i.d but rather strict stationary. Can someone explain to me what the difference is? Strict stationary means that the returns at time t, t+1, ..., t+n are equally...
  12. A

    How to use a mix of random effects and fixed effects?

    Hi, all :wave::wave::wave: I was reading a paper about Free Trade Agreements impact on trade, here is the link I have been contacting the author, but he wouldn't explain in detail :confused::confused::confused::confused: For...
  13. H

    Problems with some financial time-series

    Hello, For my thesis I was given the assignment to research the effect of macroeconomic news on stocks. I chose to investigate the effect of US announcements coming from the BLS on the Brazilian stock market. In my case I wanted to check if the announcements would have a significant effect on...
  14. A

    Logit regression to evaluate real price test

    Dear statistically inclined people, I'm asking for your help in a real world price test evaluation. I've had two years of stats and econometrics back at uni a couple of years ago and am trying to scramble all my knowledge together - would be awesome if you could help me a bit :-). [Here a...
  15. K

    (Economics) Transition matrices: transition rates, activity rate

    Hello everyone... it's been a while. I have a question for the econometricians out there. I have active labor 1. I have the following transition matrix (active and inactive labor participation 2012 and 2013), and I need to find the transition rates for AI and IA. -------A----I A-----55---5...
  16. M

    Running time-series regressions on discontinuous datasets: is it legitimate?

    I would like to run a simple time-series regression, to estimate the sensitivity of my dependent variable to a set of explanatory variables. However, the dataset could be subdivided into subsets that fall under specific categories. For example, a time-series of stock returns could be subdivided...
  17. M

    How to use LASSO with common shocks (economic factors)

    I am trying to use LASSO for variable selection, on a balanced panel. I have a total of 14 predictors, and would like to reduce this variable space. The panel is comprised of n dependent variables, each having t observations. I am planning to run LASSO on the cross-section for each time t...
  18. M

    How to use LASSO with common shocks

    I am trying to use LASSO for variable selection, on a balanced panel. I have a total of 14 predictors, and would like to reduce this variable space. The panel is comprised of n dependent variables, each having t observations. I am planning to run LASSO on the cross-section for each time t...
  19. I

    ask: no aid dummy in panel data using stata

    Dear all, I would like to ask the utilization of dummy variable in stata. Well, here is my model y=beta1 lnx1(1,x1)+beta2 nox1+beta3 lnx2 (1,x2)+beta4 nox2 so basically x1 and x2 are type of aid which given to countries. it is panel data 6 years long with 20 countries. i use the model...
  20. A

    Generating Dummy Variable from excel file into STATA

    Hi all :) I am currently doing a research thesis titled "The Effects of Free Trade Agreements (FTA) on Indonesia's Trade". I have a panel data that consist of indonesia and its partner trade data from 1980 to 2011. In short, I have to create dummy variables of FTA that signed by Indonesia...