Displaying 2 results from an estimated 2 matches for "f2t".
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f2
2011 Jul 14
1
WLS regression, lm() with weights as a matrix
...companies and 60 dates
for each company
Independent variables: a 60*4 matrix (*Ft*) with 4 factors and 60 dates for
each factor
Weights: a 60*200 matrix (*Wit*) with weights for 200 companies and 60 dates
for each company
The WLS regression I would like to run is:
(Wit)*Rit = a*(Wit*F1t) + b*(Wit*F2t) + c*(Wit*F3t) + d*(Wit*F4t) + eit
Ideally, I want to run WLS regressions for each company i (i.e., 200 WLS
regressions in total), in each regression using weights from column i in
matrix *Wit* ,and in the end obtain a 60*4 matrix with coefficients and a
200*60 matrix with residuals.
However, whe...
2020 Feb 27
2
[PATCH] Update the 5 year logo to 10 year logo
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