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I have a question in statistics as I am not really good at it !

I am currently studying the effects of Venture Capital ownership on the stocks returns. In the same time I study the effect of Hedge Funds ownership on the same returns also. I want to make a regression on my long-term returns with these 2 ownership's explicative variables. But I do not know even which regression to use in order to proceed that. Do you know how should I do, and do you have a practical guide to do this kind of regression please?

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This can be a good start for the multivariate regression.

First of all, you need a mathematical model like this:

$y = \beta_0 + \beta_1 X_1 + \beta_2 X_2 + \varepsilon$.

Basically you have a mathematical equation were the $y$ is your response variable and the $X$ matrix has 2 columns, your explanatory variables, the regressors. The $\varepsilon$ is a vector that concern all the things that are not explained with the $X$, the remainder; usually is an $iid$ process with $0$ mean and $\sigma^2$ costant variance.

Assume that you estimate the coefficients with the $OLS$ and so you get th classic Gaussian Multivariate Model.

Shortly, the $\beta$ coefficients are the effects of the two $x$ variables on the response $y$. You can interpret this effect with the Ceteris Paribus:

  • $\beta_1$ is the effect on the $y$ by an increment of 1 unit of the $X_1$, with $X_2$ constant.
  • The same for $\beta_2$ but in the inverse order.
  • $\beta_0$ is the intercept, the mean value of the $y$ when all the $x$ variables (and so their effects) are null.
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