Dear Stata Community,
For my output I got a relatively high adjusted R2 (0.556) yet insignificant slopes (P>0.18), I am wondering what may have caused this and I suspect I made a mistake... I hope you can help.
For reference, the standard errors are high, as well as some of the estimated coefficients. If I run the same model yet instead of using rolling return windows I run it as a fixed effects model using xtreg, fe, using the security code (permno) as a grouping variable, I get significant slopes ( P< 0.01) yet a much lower R2 (0.0116).
Thank you in advance for your comments and suggestions,
Kind regards, Julien Maas.
For my output I got a relatively high adjusted R2 (0.556) yet insignificant slopes (P>0.18), I am wondering what may have caused this and I suspect I made a mistake... I hope you can help.
For reference, the standard errors are high, as well as some of the estimated coefficients. If I run the same model yet instead of using rolling return windows I run it as a fixed effects model using xtreg, fe, using the security code (permno) as a grouping variable, I get significant slopes ( P< 0.01) yet a much lower R2 (0.0116).
Thank you in advance for your comments and suggestions,
Kind regards, Julien Maas.
