Hello,
My dataset consists of 3816 funds with monthly returns for the period 2000-2018. I am trying to use a model which tells me the market timing ability of the managers: fundperf = mktrf + mktrf^2.
I have calculated the variables now I need to know what type of regression should I be using and know how many times the estimated coefficient for the second variable has a positive and/or negative sign and is statistically significant for the set of regressions.
Thank you in advance,
Nikifor
My dataset consists of 3816 funds with monthly returns for the period 2000-2018. I am trying to use a model which tells me the market timing ability of the managers: fundperf = mktrf + mktrf^2.
I have calculated the variables now I need to know what type of regression should I be using and know how many times the estimated coefficient for the second variable has a positive and/or negative sign and is statistically significant for the set of regressions.
Thank you in advance,
Nikifor
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