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Questions tagged [paneldata]

Panel data is a kind of data table where elements have more than one index.

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224 views

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 ...
6
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1answer
2k views

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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0answers
27 views

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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1answer
71 views

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, ...
4
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1answer
216 views

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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2answers
2k views

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 ...
3
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0answers
233 views

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 ...