I am currently testing the response of 3 UK stock indices to macroeconomic shocks. I have Policy shocks measured on the day of the MPC announcements, Industrial production & Unemployment & Inflation shocks (measured at the end of month) and daily Interest rate and oil shocks. The change in FTSE prices are computed daily.
For data that is not measured at daily intervals, I have 0's in place where the observations are missing. Will this be impacting the results produced by an OLS regression? the rvfplots show scattered residuals but there is many observations at the value 0.
Is there a better method for measuring the variables that occur at a lower frequency?
Really appreciate any help
Best,
Connor
Related Posts with Mixed frequency data
How to extract one variable from a string?We have a dataset of different movies but genres contain more than one variable. For example, under …
IV Regression Panel Data - xtivreg - lagged VariablesHello, I am working with StataIC16 and the panel data set mathpnl**, for the years 1992 - 1998- I w…
How do I export multiple diagnostic tests to one .csv table?Hello STATAlist friends! I'm working with STATA 15 on a project validating a several tests to gold s…
Robust option in a ols modelHi everyone, I was wondering if one can use robust option in a ols regression model that includes bo…
Store tab command's resultsHi all! I created a variable indicating in which income decile individuals of a population are. I t…
Subscribe to:
Post Comments (Atom)
0 Response to Mixed frequency data
Post a Comment