Hi,
I am comparing Fama-French 3-Factor model and Fama-Carhart 4 on 40 industry returns. I am trying to do Sub-sample analysis with the monthly data from 1963-2018 based on Business cycles identified by the CFNAI index.
However, my main problem is that each recession periods in history has different lengths. Some recession period lasts more than 20 months, some only has 12 months. Therefore, if I do a sub-sample analysis on the recession periods, each sub-sample has different lengths; would it affect my statistical inferences and the power of my regression results at the end? Since some data only has a few observations.
Is there another method where I can account for the business cycle effects on Asset Pricing models?
Thanks in advance.
Related Posts with Problems with Sub-sample analysis
Separate GMT date into date and military timeI have a data set with the date as shown in the sample data. I wish to separate the variable "date_G…
Underlying Computation of regress functionI know STATA is written in C. Does anyone know if C calls FORTRAN for the dqrls subroutine? Or does …
How to weight the analysis by the actual population?Dear Statalist, I hope you are well. In fact, I have used the method of random sampling to collect…
Extent Indicators, Zooming and Clearer Maps with grmapI'm doing a synthetic control analysis of COVID-19 vaccine mandates in the United States, and I want…
Counting years in panel dataHi all, I'm trying to create a count variable for the number of years a factory has been in product…
Subscribe to:
Post Comments (Atom)
0 Response to Problems with Sub-sample analysis
Post a Comment