Hi all
I did post about this couple of weeks earlier. Please accept my apologies for the lack of clarity and explanation in my previous post.
I'll try explain what I am trying to achieve as best I can.
I am trying to fit the following nonlinear regression model:
excess_returns = alpha^tau + [(delta^tau) * (beta1*X)] + (beta2*V) + e
whereby:
1. X = an event dummy which equals 1 upon occurance of an event and 0 otherwise
2. alpha^tau and delta^tau are scalars that are allowed to take on different values for each calendar year (2004, 2005....); with tau being equal to 1 on average
3. V = volatility measure
I am having difficulties defining (2) in my equation, i.e. allowing tau to vary according to calendar year.
A part of my dataset is provided below. I have provided a case with 2 events (around 15 returns observations per year) for years 2004 and 2005.
I have created the event dummy and event dummies accordingly.
Would appreciate any help with the above.
Thanks in advance for replying.
I did post about this couple of weeks earlier. Please accept my apologies for the lack of clarity and explanation in my previous post.
I'll try explain what I am trying to achieve as best I can.
I am trying to fit the following nonlinear regression model:
excess_returns = alpha^tau + [(delta^tau) * (beta1*X)] + (beta2*V) + e
whereby:
1. X = an event dummy which equals 1 upon occurance of an event and 0 otherwise
2. alpha^tau and delta^tau are scalars that are allowed to take on different values for each calendar year (2004, 2005....); with tau being equal to 1 on average
3. V = volatility measure
I am having difficulties defining (2) in my equation, i.e. allowing tau to vary according to calendar year.
A part of my dataset is provided below. I have provided a case with 2 events (around 15 returns observations per year) for years 2004 and 2005.
I have created the event dummy and event dummies accordingly.
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input float(date yr) long category float(excess_returns daily_volatility evtdum) 16120 2004 5 -.0041710553 .00610615 1 16121 2004 . -.002605169 .005672948 0 16124 2004 . -.0027607314 .005107096 0 16125 2004 . -.00169663 .005328464 0 16126 2004 . .00398276 .0033022955 0 16127 2004 . .0010536329 .004524223 0 16128 2004 . -3.87844e-06 .005174306 0 16131 2004 . .00954761 .00652635 0 16132 2004 . -.006000787 .004812117 0 16133 2004 . .001638213 .0045299074 0 16134 2004 . .00329056 .002689062 0 16135 2004 . .0016816463 .007512288 0 16138 2004 . -.008425278 .006753054 0 16139 2004 . -.005827282 .005510922 0 16140 2004 . -.014780972 .01003793 0 16469 2005 5 .003082929 .00318898 1 16470 2005 . -.0028594655 .003812133 0 16471 2005 . .01089252 .006926291 0 16474 2005 . -.001179559 .002438813 0 16475 2005 . .0003925901 .002471866 0 16476 2005 . -.008702259 .006162649 0 16477 2005 . .0041126176 .003623021 0 16478 2005 . .00681175 .007551926 0 16481 2005 . .0006066508 .001664312 0 16482 2005 . .003204334 .003437483 0 16483 2005 . .00009175942 .003666668 0 16484 2005 . -.008044923 .005273449 0 16485 2005 . .0006092897 .002787331 0 16489 2005 . -.01470196 .009220046 0 16490 2005 . .0055017 .004728368 0 end format %-td date label values category c label def c 5 "US Macro & Political", modify
Thanks in advance for replying.
