Tagged Questions
1
vote
0answers
65 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 ...
8
votes
0answers
95 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 ...
1
vote
1answer
339 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 ...
3
votes
0answers
156 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 ...
1
vote
2answers
65 views
Regressing price on volume
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 ...
1
vote
0answers
132 views
Approximate vs. Strict Factor model specification in R
Background:
Generally, pooled time-series cross-sectional regressions utilize a strict factor model (i.e. require the covariance of residuals is zero). However, in time series such as security returns ...
