Questions tagged [econometrics]
The use of mathematical methods, especially statistical, in order to analyze economic phenomena, understand the economic relations between them, and develop economic theories. A subset of economics.
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What Quantitative Methods Best Predict Silver Prices Based on Macroeconomic Indicators?
I'm seeking guidance on developing a robust quantitative model to predict silver prices using macroeconomic indicators. How can I incorporate variables like GDP growth, inflation rates, and monetary ...
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GARCH-MIDAS model for forecasting volatility?
I had a problem when I just estimated the GARCH-MIDAS model on Eviews: I found only the MIDAS model. Can I estimate the GARCH(1,1) model and MIDAS separately, and then multiply them to have GARCH-...
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GARCH model within a system of simultaneous equations
This is a system of simultaneous equations. The first equations is a GARCH(1,1) model with a exogenous variable.
The dependent variable (x) from the fourth equation is exogenous independent variable ...
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Regressing on Residuals
I have a time series dataset (Local Gov. bond yields and probable determinants). Due to structural breaks in different exogenous variables in different time points, I have an idea of regressing a set ...
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eGARCH(1,1) model evaluation (R). How to assess model integrity?
I am using GARCH modelling for my bachelor thesis in Economics. I am entirely new to the concept, and have only been looking into these kind of models for about a week now. I am trying to do a ...
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Stambaugh inference for Investment Analysis when History Lengths Differ
This pertains to Stambaugh in the JFE (vol. 45, 1997 pp 285-331), and I have a question about Proposition 1 results (page 292). (link)
To set the background, let's take the smallest relevant ...
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Error (singularity) in the GRS test applied on portfolios that were used for constructing the Fama-French factors
In the context of the Fama-French 3-factor model, we have six portfolios used for creating the SMB and HML factors: SL, SM, SH, BL, BM, BH. (The notation is: S~small, B~big, L~low, M~medium, H~high). ...
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Testing one asset pricing model against another a la Cochrane: why this works
I am reading section section 14.6 of John Cochrane's lectures notes for the course Business 35150 Advanced Investments. On p. 239-240, he discusses testing one asset pricing model against another. I ...
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Through-the-cycle rating transition matrix
Suppose we know the observed transition matrix for annual migrations between credit ratings, $T_{ij,t}$, for $N$ years. How is the through-the-cycle (TTC) transition matrix defined?
Sometimes the ...
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Shanken's correction for Fama-MacBeth (1973) generalization of the CAPM
Fama & MacBeth (1973) tested the CAPM against an alternative that the dependence between the expected excess return $E(r_{i,t}^∗)$ and the relative systematic risk $\beta_𝑖$ is nonlinear (namely, ...
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The original standard error estimation of Fama and French (2015) paper
I have a question about the estimation method of the original paper of Fama and French (2015) regarding the five factor model and the t statistics. Are they using non-robust standard errors or are ...
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Do resistance levels for financial securities prices exist? [duplicate]
I know there is a large controversy about whether or not technical trading rules are profitable and research results depend on asset classes, time frames, trading costs, risk-adjusted return ...
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If investors face different tax rates, how can an asset pricing model be built so that it satisfies the incentive constraints of both investors?
The CAPM and other models have been expanded to include the impact of corporate/personal taxes. However, what if these tax rates differ for an investor pool holding the same equity stake (which by ...
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Interpretation of coefficients of a Probit model [closed]
The exact problem I am trying to solve is as follows. I have a Probit specification:
$$ P_t = \Phi(\beta^T x_t) $$
where $\Phi$ is a standard normal CDF and $x$ is a matrix of independent variables ...
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How do asset prices behave in a single-period and multi-period model?
When we talk about the single-period CAPM, the return in a particular period t can be defined as $(P_t - P_{t-1})/P_{t-1}$. Investors plan at t-1 and get a payoff at t.
After this period, the same ...
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