Hi, I am running the following regression:
where my variable CSAD is computed from the sum of the return of 10 cryptocurrencies for each period t.
I am looking at whether the COVID-19 pandemic has an effect on the cryptocurrency market (more specifically on herding)
I would like to take the 11/03/2020 as the date of the pandemic but when I run the
command after my regression my structural break is far from this date.
When looking at structural breaks, should I just look at whether there is a structural break in returns rather than looking at the regression and finding the structural break, since my dependent variable is also computed using the returns?
for instance just compute:
where SquRtnMrktPort would be the market return squared and time would be the date variable? Would this give me the appropriate break to use?
Code:
reg CSAD RtnMrktPort SquRtnMrktPort L.SquRtnMrktPort AbsRtnMrktPort CSAD_L1 CSAD_L2 CSAD_L3 CSAD_L4 CSAD_L5 CSAD_L6 CSAD_L7 CSAD_L8
I am looking at whether the COVID-19 pandemic has an effect on the cryptocurrency market (more specifically on herding)
I would like to take the 11/03/2020 as the date of the pandemic but when I run the
Code:
sbsingle
When looking at structural breaks, should I just look at whether there is a structural break in returns rather than looking at the regression and finding the structural break, since my dependent variable is also computed using the returns?
for instance just compute:
Code:
reg SquRtnMrktPort time sbsingle
