Hi community,
I am trying to display the r-squared from the Newey-west regression, by using the commands suggested by Nick Cox.
However, my r-squared is 1, which is not realistic. This is what I have so far:
gen ret1 = f1.ret
newey ret1 CSV1, lag(1)
drop ret1
predict CSV1p if e(sample)
corr CSV1 CSV1p if e(sample)
di r(rho)^2
Does anyone know what I am doing wrong?
Thank you in advance.
I am trying to display the r-squared from the Newey-west regression, by using the commands suggested by Nick Cox.
However, my r-squared is 1, which is not realistic. This is what I have so far:
gen ret1 = f1.ret
newey ret1 CSV1, lag(1)
drop ret1
predict CSV1p if e(sample)
corr CSV1 CSV1p if e(sample)
di r(rho)^2
Does anyone know what I am doing wrong?
Thank you in advance.
