Questions tagged [econometrics]
The use of mathematical methods, especially statistical, in order to analyze economic phenomena, understand the economic relations between them, and develop economic theories. A subset of economics.
181 questions
2 votes
0 answers
112 views
Why did Fama & French prefer Fama-MacBeth to GMM?
In their asset pricing papers that I have seen (including some late ones from 2010s), Fama & French used the two stage procedure of Fama-MacBeth (FM) from 1973. Since 1982, GMM was available as an ...
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0 votes
0 answers
103 views
Metric for volatility time series similarity - European swaptions
I'm trying to estimate the volatility surface of illiquid swaptions (say CHF) given hourly data (atm vol, skew, for different strikes) of other liquid swaptions (EUR, USD, etc.). Having the underlying ...
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0 votes
1 answer
211 views
Size of blocks in Block Bootstrapping of returns
I am working on long term portfolio allocations. With larger investment horizon like 5-10 years, 20 years of data that I have is not enough. So I decided to do some bootstrapping to generate some ...
0 votes
1 answer
192 views
Financial Analysis of Project Cash Flows: Present and Future Worth Calculations
Update We use all the transactions from 2010 to 2033, . You need to find the equivalent value of each transaction based on the number of compounded interests. Consider the following income and ...
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2 votes
1 answer
93 views
Omitting more than one factor from a factor model
Following up on these questions of mine (1), (2), (3), one could ask whether we could leave more than one factor out of a multi-factor model. E.g., consider the Fama-French 3-factor (FF3f) model. ...
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1 vote
0 answers
93 views
Portfolio sorting and Fama-MacBeth regression
I have often heard that portfolio sorting is closely related to Fama-MacBeth regression. And also terms like "pure-play portfolios". I dont think I understand it. For example, lets sorts ...
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1 vote
0 answers
72 views
Derivation of variance ratio test
I have been studying the variance ratio test of lo and mackinley (1988) to apply ata paper. I found this calculations in this site: https://mingze-gao.com/posts/lomackinlay1988/ Maybe, someone here ...
1 vote
2 answers
262 views
Is the stock market disentangled with the economy?
Regressing the Equity Premium against Macroeconomic Variables Long story short, I was performing a linear regression on the explanatory power of the GDP and/or the GDP growth rate (independent ...
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1 vote
1 answer
133 views
What Quantitative Methods Best Predict Silver Prices Based on Macroeconomic Indicators?
I'm seeking guidance on developing a robust quantitative model to predict silver prices using macroeconomic indicators. How can I incorporate variables like GDP growth, inflation rates, and monetary ...
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0 votes
0 answers
55 views
GARCH model within a system of simultaneous equations
This is a system of simultaneous equations. The first equations is a GARCH(1,1) model with a exogenous variable. The dependent variable (x) from the fourth equation is exogenous independent variable ...
0 votes
0 answers
96 views
Regressing on Residuals
I have a time series dataset (Local Gov. bond yields and probable determinants). Due to structural breaks in different exogenous variables in different time points, I have an idea of regressing a set ...
0 votes
0 answers
130 views
eGARCH(1,1) model evaluation (R). How to assess model integrity?
I am using GARCH modelling for my bachelor thesis in Economics. I am entirely new to the concept, and have only been looking into these kind of models for about a week now. I am trying to do a ...
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2 votes
0 answers
109 views
Stambaugh inference for Investment Analysis when History Lengths Differ
This pertains to Stambaugh in the JFE (vol. 45, 1997 pp 285-331), and I have a question about Proposition 1 results (page 292). (link) To set the background, let's take the smallest relevant ...
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1 vote
0 answers
89 views
Testing one asset pricing model against another a la Cochrane: why this works
I am reading section section 14.6 of John Cochrane's lectures notes for the course Business 35150 Advanced Investments. On p. 239-240, he discusses testing one asset pricing model against another. I ...
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4 votes
0 answers
113 views
The original standard error estimation of Fama and French (2015) paper
I have a question about the estimation method of the original paper of Fama and French (2015) regarding the five factor model and the t statistics. Are they using non-robust standard errors or are ...
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