Hi All,
Thanks for reading.
I currently have daily time series data for the periods from July 2010 to March 2019. I am looking to run a regression for every month against 3 independent variables in order to record the daily residual values.
I am attempting to follow these instructions: "Regressions are conducted every month for each stock with its idiosyncratic risk for the particular month represented by the standard deviation of the regression residuals."
So after the daily residuals are recorded using data from the first month (Jul 2010), data from the second month (Aug 2010) is regressed against the second month independent variables and again the residuals are recorded and so on until the last month (Mar 2019).... if my understanding is correct.
Any help would be greatly appreciated.
Thanks in advance.
Alex
Related Posts with Monthly rolling regressions - recording residuals
Fixed EffectIs there any difference in running multicollinearity, autocorrelation and heteroskedasticity test us…
Panel data and autocorrelationDo panel data need autocorrelation? …
Non integer weights + summary statistics for population survey dataHi all, I am new to the world of STATA (and fairly new to epidemiology/biostats). I have been taske…
How spatial panel data models deal with endogeneity problem?Hi everyone, I am looking for your suggestion about how to deal with endogeneity bias which comes f…
Loop a time-series regression to predict out-of-sample valuesHello there, I am quite new to Stata and after desperately searching for a solution in this forum I …
Subscribe to:
Post Comments (Atom)
0 Response to Monthly rolling regressions - recording residuals
Post a Comment