Questions tagged [methodology]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0 votes
0 answers
16 views

How is the ISM's Supplier Deliveries Index calculated?

I've been trying to look for it but I cant find the answer. What they considered a delayed good? +24h? 1 week? Just good that have not been delayed on time?
  • 1
2 votes
0 answers
76 views

When should we use “internal consistency” test?

From a paper of Gao, Whited, and Zhang (2021), I saw a paparagraph We deviate from this traditional specification in three ways: we examine only money held by corporations, we include real GDP growth ...
0 votes
1 answer
55 views

What is the relation between the trend of log and linear in accumulative data?

From this discussion, I know when to use the log, but now I am wondering how to guess the trends of log graph of accumulative data based on linear accumulative data graph? For example, this table is ...
3 votes
3 answers
3k views

Why and when we should use the log variable?

Normally, I see finance papers use the real ratios but log regarding non-ratio variables. For example, some papers used log(asset) or log(1+firm age) or log GDP, but regarding the ratio, they use the ...
1 vote
0 answers
89 views

Pricing a TRS using the Projected method for the financing leg and the Accrual method for the asset leg

I've been wandering if would be possible to value a TRS I have in an unusual way. I would like use the accrual method for the asset leg, since the the asset leg is a long position in an equity and it ...
0 votes
1 answer
38 views

basic econometric model on country spread methodology

I am doing some research on Germany, France and Spain on their spread. I would like to try to 'forecast' or 'explain' the the spread on sovreign debt using OLS regression on unemployment and debt ...
1 vote
1 answer
292 views

How to measure the real interest rate using the consumer price index

I am examining how investor sentiment affects the probability of stock market crises. I am using methodology similar to this paper https://ideas.repec.org/p/dij/wpfarg/1110304.html. One of the ...
  • 99
1 vote
1 answer
80 views

Choosing an exchange rate in a macroeconomic panel data set

I am constructing an investor sentiment index to determine the impact of investor sentiment on stock market crises. I am following the methodology in this paper, http://121.192.176.75/repec/upload/...
  • 99
4 votes
1 answer
2k views

How should we select efficiently orders parameters in time series modelling?

A common way to select orders parameters (ex: to choose the number of AR terms to be included in the model ) in time series modelling is to rely on some Information Criteria (AIC, BIC, Hannan Quinn..)...
  • 2,534
8 votes
1 answer
2k views

Constant maturity futures price methodology

What is the correct methodology to compute constant maturity futures price. I've met in some papers that do the following. To create constant maturity synthetic futures prices with maturity $m = 30, ...
  • 328