Dear Statalist,
I would like to know how to interpret the results of a regression that I'm running. I'm regressing the monthly returns of a portfolio given in decimal form on the monthly change in the TED spread (which is also given in decimal form).
Y = portfolio1
X = changeted
Changeted is generated by taking the first difference of the monthly TED spread as in:
I'm getting the following results from the regression
Now what is the correct way to interpret these results?
1. A 1 percentage point increase in the monthly change of the TED spread increases the returns of the portfolio by 172 percentage points
2. A 1% increase in the monthly change in the TED spread increases the returns of the portfolio by 172%
Here's a subset of my data below so you can see how the relevant variables are depicted:
I would like to know how to interpret the results of a regression that I'm running. I'm regressing the monthly returns of a portfolio given in decimal form on the monthly change in the TED spread (which is also given in decimal form).
Y = portfolio1
X = changeted
Changeted is generated by taking the first difference of the monthly TED spread as in:
Code:
gen changeted = D.ted
I'm getting the following results from the regression
Code:
reg portfolio1 changeted
portfolio1 | Coefficient | Std. Err. | t |
changeted | 1.722623 | 0.6577956 | 2.62 |
_cons | 0.0046564 | 0.0012223 | 3.81 |
1. A 1 percentage point increase in the monthly change of the TED spread increases the returns of the portfolio by 172 percentage points
2. A 1% increase in the monthly change in the TED spread increases the returns of the portfolio by 172%
Here's a subset of my data below so you can see how the relevant variables are depicted:
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input float mdate double portfolio1 float(changeted ted) 358 .00849232634736 -.0028476184 .008680953 359 .0196473443785 .0002295738 .0089105265 360 .00908474893664 -.0018010028 .007109524 361 -.00789620730366 -.0008674185 .006242105 362 .0195815621909 -.0003057416 .005936364 363 .027590637801 .0020110048 .007947369 364 .000916804789517 -.0005902257 .007357143 365 .0158492072062 -.0011095237 .006247619 366 .0228994165542 -.0002857144 .005961905 367 .0160825575945 .0005199136 .006481818 368 .0436228907427 .001891866 .008373684 369 .0429131154968 .001658134 .010031818 370 -.00697735981956 .0010681814 .0111 371 .0216892669748 .0005894741 .011689474 372 -.0095828701076 -.0005085217 .011180952 373 -.0324055587067 -.003454636 .007726316 374 -.0063345531009 -.0010813158 .006645 375 .000701541869713 -.0008307146 .005814285 376 -.00404627954966 .0001476193 .005961905 377 .0240512142543 .00038309535 .006345 378 .000794257469344 -.0007313639 .005613636 379 -.000107101605566 -.0011945884 .004419048 380 -.0114348075008 -.0004490479 .00397 381 -.00761210352102 .0008163638 .004786364 382 .033791962529 .0004188996 .005205263 383 .0174744570914 -.000015263446 .00519 384 -.042712548086 -.0014185715 .0037714285 385 -.0115241663969 -.0004714285 .0033 386 .0120620200275 .00022727274 .003527273 387 .0114044506298 .0006477272 .004175 388 .00235680516069 -.0008907893 .0032842106 389 .0115165324735 .0000976075 .003381818 390 .0113243855309 -.0003318181 .00305 391 .0333249198916 .000215 .003265 392 .00759933642572 .0005016667 .0037666666 393 .0144097172053 .0019904762 .005757143 394 -.0133345697828 .0008902256 .006647368 395 -.00943171681865 -.002456892 .004190476 396 -.0373814303009 -.0007220551 .003468421 397 -.0157087963392 -.000368421 .0031 398 -.0125583788066 -.00021304353 .0028869566 399 -.0254557869421 .0006980435 .003585 400 -.00886132794598 -.0007586842 .002826316 401 -.0211462904909 -.00016722502 .002659091 402 -.0127728666938 -.00007813843 .0025809524 403 -.0047867762325 -.00015714276 .0024238096 404 -.00181247685364 .00023333333 .002657143 405 -.00387143948895 .0010778571 .003735 406 .0147179584594 .00010499987 .00384 407 .00182382931063 -.0006299999 .00321 408 -.0242212731622 -.00020473683 .003005263 409 .0272000913751 -.0000526316 .0029526316 410 .0155942011949 .0008038902 .003756522 411 .00510120234059 .0006879228 .0044444446 412 -.00116494962791 .00049555534 .00494 413 .0144875169313 .00004636357 .004986363 414 -.00659186811291 .00025863666 .005245 415 .0186325126031 -.0008086367 .0044363635 416 .0160257094466 .0006493507 .005085714 417 .0309753274867 .001664286 .00675 418 .0274654193376 -.0008300003 .00592 419 .00460671756132 .001935 .007855 420 .00574407730955 -.00152 .006335 421 -.00290292902279 -.0014139474 .004921053 422 .0126022717027 .0004702518 .005391304 423 -.000910747414227 .0004198067 .005811111 424 -.00232210454743 -.0012634918 .0045476193 425 -.00376991614283 .0007887445 .005336364 426 -.00587224952977 -.0006363639 .0047 427 -.0215626957343 .0003181817 .005018182 428 .00919582327103 .0008318182 .00585 429 .0431705338809 .0007642857 .006614286 430 -.00230383648953 -.001385714 .005228572 431 -.00833769362855 .0008293232 .006057895 432 -.0160017915454 -.000600752 .005457143 433 .00873168041384 -.0009671426 .00449 434 -.00758796582581 -.00017095264 .0043190476 435 .00613113205471 .0011609523 .00548 436 .00637332670668 -.0006799996 .0048 437 .0182696639881 -.0000400003 .00476 438 .0235125729808 .0001718183 .004931818 end format %tm mdate
Comment