Hi! I am doing a research on the impact of dividend policy on the investors' rate of return. Now I have the following data set. Array I use Fama's market model: Rit=a+bRmt+e. (a is constant, b is coefficient, e is error). I need to test whether certain errors on certain date (the dividend announcement date) is significant from zero.Should I run the regression with 30 companies past 5 years' daily Rit (rate of return of company i, eg,. 2013-2018 daily data)and Rmt (rate of return of the market, 2013-2018 daily data), get the errors, then select the errors on the dividend announcement date, and test whether they are significant from zero? Or Should I run the regression only with the Rit and Rmt on the dividend announcement date (like Ri and Rm on 30/12, 31/03, 30/06, 30/09), Then get the errors and test whether they are significant from zero? And how to select the errors on the certain date?
Related Posts with deal with errors in panel data
Stata calculating biased coefficient?Hello everyone, I have a question regarding a Stata coefficient. Our professor told us to set obs =…
asdoc sum - does not allow analytical weightsDear Members, I am dealing with DHS dataset. I have individual sample weight (6 decimals) in my dat…
Change the display number on the axesHi everybody. I would like to change the way observations are displayed on the axes (for example I …
Change the visualization of the data on the axesHi everybody, I would like to change how I visualize the data on the y axes. My numbers are reverse…
Converting *.mo file to a text fileDear Statalist Could anyone help me on converting a *.mo file to a text file (or .mata)? I am using …
Subscribe to:
Post Comments (Atom)
0 Response to deal with errors in panel data
Post a Comment