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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. …
Ram Ahluwalia's user avatar
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 …
Ram Ahluwalia's user avatar