Hello everyone,
I am currently having some troubles regarding the statistical analysis I have to do for my master's thesis. It is about the effect of macro-economic news on the reaction of stocks in the euro area. Macro-economic news has two components: an expected and unexpected component. Since it is the unexpected component of news that moves stocks, this is the component I would like to calculate starting from the actual announcements. My data consists of monthly data of 1) S&P Euro stock index and 2) macro economic variables (M1, inflation, industrial production, unemployment and the interest rate).
So what is the problem: I do not know how to correctly calculate the unexpected component of these macro-economic variables. As of now, I used the following command:
(assuming I should do this separately for all five independent variables).
Any advice on how I should do this would be much appreciated, as well as any help on how to interpret the output (generated by the command above) below:
Thanks in advance.
Cross-posted in https://www.reddit.com/r/stata/comme..._component_of/ and https://www.statalist.org/forums/for...-at-once/page2.
I am currently having some troubles regarding the statistical analysis I have to do for my master's thesis. It is about the effect of macro-economic news on the reaction of stocks in the euro area. Macro-economic news has two components: an expected and unexpected component. Since it is the unexpected component of news that moves stocks, this is the component I would like to calculate starting from the actual announcements. My data consists of monthly data of 1) S&P Euro stock index and 2) macro economic variables (M1, inflation, industrial production, unemployment and the interest rate).
So what is the problem: I do not know how to correctly calculate the unexpected component of these macro-economic variables. As of now, I used the following command:
Code:
rolling, window(36): arima M1, ar(1)
Any advice on how I should do this would be much appreciated, as well as any help on how to interpret the output (generated by the command above) below:
Thanks in advance.
Code:
* Example generated by -dataex-. For more info, type help dataex clear input float(start end M1_b_cons _stat_2 sigma_b_cons) 480 515 .07932618 .9353847 .009162324 481 516 .0818506 .9436406 .0089879455 482 517 .08352173 .9440121 .009145501 483 518 .08836482 .9509076 .009414546 484 519 .08284108 .9456822 .009082168 485 520 .07915594 .9454264 .008789787 486 521 .07867705 .9515781 .008670864 487 522 .08134738 .9531985 .0085833715 488 523 .0813597 .9593607 .008504648 489 524 .0792206 .957567 .008513007 490 525 .08061783 .9650205 .008543259 491 526 .07663073 .9556202 .008779268 492 527 .06649369 .9846039 .00704677 493 528 .07100493 .9842466 .007046339 494 529 .06646622 .9862801 .006951232 495 530 .06968245 .9870193 .007026014 496 531 .07307028 .9799441 .006831652 497 532 .07550673 .9702542 .006767166 498 533 .07376206 .9738882 .006725197 499 534 .0763388 .9703032 .006686086 500 535 .0808893 .957343 .006367532 501 536 .08411803 .9525363 .006401483 502 537 .0867096 .9388686 .006241961 503 538 .0876328 .9426321 .006338665 504 539 .08935062 .9213593 .006277723 505 540 .09101281 .9207133 .006508478 506 541 .09085558 .9265967 .006508137 507 542 .09256272 .8976028 .00647755 508 543 .09416974 .8813589 .006434784 509 544 .09623832 .8660511 .006638716 510 545 .09905039 .8300025 .006548184 511 546 .1006132 .8244336 .006672222 512 547 .10201915 .8009965 .006593645 513 548 .1021928 .7632863 .006604627 514 549 .1035999 .7254493 .006368722 515 550 .10415918 .7043266 .006202838 516 551 .1045611 .723392 .006345647 517 552 .10475463 .6801503 .00628013 518 553 .10521308 .7212854 .006085743 519 554 .1046942 .7113643 .006033043 520 555 .10465998 .6981124 .006031207 521 556 .1046875 .6995688 .006031062 522 557 .10341063 .687377 .006395015 523 558 .10140558 .7693549 .007197531 524 559 .09910332 .8229185 .007236489 525 560 .09875224 .8622571 .007208604 526 561 .0936329 .90042 .007069353 527 562 .09367334 .9017966 .007067419 528 563 .09654123 .861899 .007334284 529 564 .09372638 .8743276 .007530947 530 565 .09353873 .8926763 .007518577 531 566 .09170455 .8816487 .007322252 532 567 .08728353 .9023033 .007441844 533 568 .08613554 .9104654 .007453999 534 569 .08607643 .9085376 .00745261 535 570 .08666462 .891905 .007499603 536 571 .08563065 .9037842 .00758984 537 572 .08417293 .9053691 .007537742 538 573 .08457255 .9139411 .007479163 539 574 .08138794 .9184728 .007256314 540 575 .07652767 .9461316 .008097257 541 576 .07706307 .94507 .0081001315 542 577 .07120135 .9528503 .008075324 543 578 .06974936 .9570079 .008088255 544 579 .06888935 .9695005 .008009142 545 580 .068165205 .97587 .007988288 546 581 .06809237 .9814727 .007939577 547 582 .06165279 .9853913 .008337168 548 583 .0583958 .9838348 .008249018 549 584 .06175548 .9799884 .008380052 550 585 .0659189 .9611168 .009006826 551 586 .065685585 .9713941 .009041717 552 587 .06316482 .9565327 .008918492 553 588 .06457108 .9434626 .009199008 554 589 .066452615 .9392979 .00935881 555 590 .067731954 .9426968 .00934034 556 591 .0717068 .9386138 .009950774 557 592 .067132086 .9275765 .009682606 558 593 .0665227 .9305068 .009486265 559 594 .0745532 .9487758 .010269128 560 595 .0816131 .9600549 .01048838 561 596 .07894092 .9603982 .010397516 562 597 .07575338 .9523242 .010510196 563 598 .0843039 .9603742 .010282312 564 599 .08190444 .961467 .010156567 565 600 .07990945 .9588315 .010191162 566 601 .0792579 .9568965 .010205692 567 602 .07599678 .9579973 .010061257 568 603 .07504133 .9568154 .010073804 569 604 .07551255 .9557552 .010063123 570 605 .07623487 .953375 .009991742 571 606 .07126455 .9503843 .01010896 572 607 .070121 .9495849 .01013806 573 608 .06577413 .9470462 .010468002 574 609 .06256123 .94757 .01059843 575 610 .05436554 .9566014 .00993976 576 611 .05446364 .9563611 .0099386 577 612 .04897627 .9599039 .00997514 578 613 .04691422 .9612166 .009996225 579 614 .04432635 .9632082 .009953639 end format %tmMon_CCYY start format %tmMon_CCYY end
