Questions tagged [paneldata]
Panel data is a kind of data table where elements have more than one index.
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Using the Fama-French 5 factor model in Panel Data
I have a question regarding the use of the FF5 Factors in an industry-fixed effects model. In order to clearify my question I'll post an example of my dataset
Note that this is just an example, the ...
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How much is considered as a fat tail for a ratio variable based on kurtosis?
I have two variables as below: inventory turnover (multiple to 100 already) and inventory day. And I have the kurtosis as below:
I do not know how to judge if there is any "fat-tail kurtosis&...
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Should we include the industry variables when we control for year*industry fixed effects?
In panel data, we control for firms and years fixed effects even we also have some time-variant firm-level regressors.
I am wondering whether it also happens at the industry level. If it is the case, ...
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How to set up the industry-level variables in an international study based on North America data?
In some international studies, authors usually use the industry-level in North America (US and Canada) to control for all-even non-North American-countries. I am quite confused about how to do that in ...
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FamaFrench, FamaMacBeth or Panel regression?
I hope my question is not extremely trivial.
I want to analyse the performance of mutual funds using the Fama-French model.
My dependent variable is the return of mutual funds (varying over time and ...
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Examining individual portfolio allocation changes over time
I am currently working with a pretty large panel dataset containing the investment holdings of many individuals over time (i.e., for each individual I know the positions per stock over time). I was ...
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Applying GARCH to Panel Data
I have a panel consisting of some quantity - say earnings/cash flows/or something similar.
I am interested in forecasting the volatility that is inherent to that respective measure. In a single time ...
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Fama Macbeth and Momentum factor
I am working on a Fama MacBeth regression with excess returns on the LHS and Size, Value an Momentum factors on the RHS. In literature, the Momentum factor is often definded as the cumulative past 6 ...
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What estimation method is best to conduct event study on unconventional monetary policy
I have collected bond yield data from 01/01/2008:31/12/2019 for several euro-zone countries. I would like to conduct an event study analysis of the main Non standard measures announced by central ...
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How to run Fama-French four-factor model cross-country panel analysis?
I am studying asset-pricing of "aircarft & defence" firms' stocks internationally covering 30 countries over 1980-2016. I can derive SMB, HML, and WML factors from Kenneth French's websites for ...
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Fama Mac-Beth (1973) vs Fixed effect
Currently testing if monthly fund characteristics (size, capital flows, age, risk, persistence,...) explain funds abnormal returns.
My data is set as a panel with 1000 equity mutual funds over the ...
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Understanding pooled VAR model
I encountered a paper by Vuolteenaho (2002) in which he uses pooled VAR model. I have some troubles understanding the idea. He uses firm level variables (log returns, ROE, etc.) and ultimately he ...
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R-squared increase dramatically when including "time dummy" (STATA)
Currently running a fixed effect panel using STATA. First, I declare data set as panel:
Code: xtset id obs
Where id = 350 firms and obs = 125
Then I run a fixed effect regression:
Code: xtreg y x, ...
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Panel data - Use fixed effect or random effect in predicting stock returns
I'm currently writing a master thesis where I look at the predictive power of Google search volume in predicting the movement of the Norwegian Stock Market (Oslo Børs). I'm using Google search volume ...
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Lagged dependent variable, yes or no?
I read conflicting opinions about the inclusion of lagged dependent variables in modeling, and I guess it is partly up to the researcher and depending on the scope and goal of the research.
I'm ...
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How to properly take averages to reduce data in regression/panel data analysis
I'm trying to do a regression on my panel data. Say I have T=3500 days of data and N=125 firms.
Since Matlab get's major memory issues (which I try to prevent by the usual solutions as seen on the ...
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