Displaying 1 result from an estimated 1 matches for "ror_resn".
2012 May 25
1
Problem with Autocorrelation and GLS Regression
Hi,
I have a problem with a regression I try to run. I did an estimation of the
market model with daily data. You can see to output below:
/> summary(regression_resn)
Time series regression with "ts" data:
Start = -150, End = -26
Call:
dynlm(formula = ror_resn ~ ror_spi_resn)
Residuals:
Min 1Q Median 3Q Max
-0.0255690 -0.0030378 0.0002787 0.0039887 0.0257857
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0003084 0.0007220 -0.427 0.670
ror_spi_resn 0.0363940 0.0706150...