Hi there,
I try to model daily stock market trading volume with a bunch of independent variables like stock returns, stock price volatility, etc. in an time-series regression model.
In the first place, I estimate a rolling AR(1) model of trading volume over a ten-day window in order to use the residuals of this model as "shocks" to volume as dependent variable in my main regression setup.
Is there any way to compute the effect of an independent variable on volume given that choice of the dependent variable?
I mean, can you make a meaningful statement like "Given the estimated coefficient of dependent variable X: If one increases X by one unit (one percent), c.p. the effect on stock market volume amounts to ..."?
Thanks!
Related Posts with Residuals as Dependent Variable - Interpretation of Coefficients?
Panel VARHello everyone. I am trying to apply a fixed effect estimation procedure on a panel var. The variabl…
What does Stata do with margins when using weighted least squares?I was surprised to find that, with weight (or aweight), margins does not seem to compute the average…
Genetic Matching packageAnalogously to the GenMatch package from R, is there any package in Stata that runs the Genetic Matc…
nlogit - level 2 alternative variable alt not foundDear scholars, I am having a problem running nlogit after the specification of nlogittree. I have t…
Filter households' data from a censusHi everyone! I'm working on my Master's thesis and I need help. I'm working with census data, and I …
Subscribe to:
Post Comments (Atom)
0 Response to Residuals as Dependent Variable - Interpretation of Coefficients?
Post a Comment