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tstate
2006 Aug 31
0
Moving Window regressions with corrections for Heteroscedasticity and Autocorrelations(HAC)
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#STEP1: Install ?lmtest? package using library (lmtest).
#STEP 2: Copy and paste the function defined above into the console and submit it.
# The function returns a matrix with T rows (You will find ?NA ?values on all rows less than width.)
#The columns are organized as : beta1 se1 tstat1 pvalue1 beta2 se2 tstat2 pvalue2
# i.e. we have each coefficient followed by its s,e., t-stat and p-value. Note that K is the no of #variables in the regression.
#STEP3: Get the results using
> r= movingWindowRegression(CAPM, 240, 60,Y~X1+X2,3)
# Here CAPM is the data set, T=240 monthly d...
2008 Jan 28
0
(no subject)
...ll.se.fix.coef.glmm <- rep(NA,R)
all.varcomp.g <- rep(NA,R)
all.se.varcomp.g2 <- rep(NA,R)
all.se.varcomp.gD <- rep(NA,R)
all.se.fix.coef.adapt <- rep(NA,R)
vb<-rep(NA,R)
yb<-rep(NA,R)
va<-rep(NA,R)
mse<-rep(NA,R)
msa<-rep(NA,R)
maxH0<-rep(NA,R)
maxH1<-rep(NA,R)
tstat1 <- rep(NA,R)
tstat2 <- rep(NA,R)
tstatD<- rep(NA,R)
tstatad <- rep(NA,R)
tstatlme <- rep(NA,R)
tstatlm <- rep(NA,R)
sigmahatesq <- rep(NA,R)
sigmahatbsq <- rep(NA,R)
est.ICC <- rep(NA,R)
all.fix.coef.lm <- rep(NA,R)
all.se.fix.coef.lm <- rep(NA,R)
all.se.fix.coef.g...