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Results tagged with statistics
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user 106
The study of the collection, organization, analysis, and interpretation of data. Questions may deal with descriptive statistics, probability distributions, random variables, sampling, regression, density estimation, filtering, inference, estimation theory, or computational statistics.
9
votes
Are two identical time series cointegrated?
Let us test that $x$ and $y$ are co-integrated, say that $x_t, y_t \sim I(1)$. In the Engle-Granger we test stationarity of the error term in $$y_t = \alpha + \beta x_t + u_t$$ which we estimate as $$ …
- 4,501
4
votes
Accepted
How many explanatory variables is too many?
“Make things as simple as possible, but not simpler.” The problem you want to avoid is (near) multicollinearity. The tip-off will be that adding/removing a regressor will significantly change the coef …
- 4,501
12
votes
How do I reproduce the cross-sectional regression in "Intraday Patterns in the Cross-section...
Oh, and that you're only doing 38 stocks shouldn't affect your $R^2$, just the t-statistics on your $\gamma$s. …
- 4,501