# Tagged Questions

37 views

### Estimating a VAR model with variable coefficients

I want to estimate a VAR model based on the Dufour and Engle paper "Time and the Price Impact of a Trade" (2000). There, the parameter $b_{i}$ of the endogenous variable $x_{i}$ is dependent on ...
91 views

### I have two sets of data (regular time intervals) is there any way to find out when they correlated the most and when they don't?

Sorry if the title is a bit vague however, i'm not sure exactly how to make my sentence concise. I have two times series: Amount invested into Iraq across time (in months) Price of a stock across ...
192 views

### Irregularly spaced time-series in finance/economics research

In financial econometrics research, it is very common to investigate relationships between financial time series that take the form of daily data. The variable will often be made $I(0)$ by taking the ...
484 views

### Cointegration testing with a dummy variable

I have the model: $y_t = \alpha + \beta_1 x_t + \beta_2 D_t x_t + \epsilon_t$ With $y_t$ and $x_t$ as $I(1)$ processes, and $D_t =1$ during a large financial crisis, $D_t = 0$ during non-crisis ...
193 views

### Time Series: correcting the standard errors in a huge panel time series data set

I have stock returns at every 5 minute interval of each trading day for over 2 years for 40 stocks. I want to run a Fama-Macbeth regression by time interval (5min intervals) and then correct the ...
What are the basic pitfalls of regressing stock price on volume of shares traded? This is a time series dataset. The model I'm using is: $$\ln(price)=b_0+b_1t+b_2\ln(volume)+\epsilon$$ As you can ...