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Econometrics is a field of statistics dealing with applications to economics.
1
vote
Constructing a naive recession forecast
Use a logistic model predicting the probability of a recession using independent variables such as the slope of the yield curve, trailing stock market returns, short-interest rate, and credit spreads. …
2
votes
0
answers
490
views
Approximate vs. Strict Factor model specification in R [closed]
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 …