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Techniques for modeling and analyzing several variables, when the focus is on the relationship between a dependent variable and one or more independent variables.

2 votes
0 answers
247 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. … I discovered that the way I take these averages/medians heavily influences my regression results. …
Cindy88's user avatar
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2 votes
3 answers
1k views

Time Series or Regression

Is this just regression with a lot of control variables or is this time series analysis? Or a combination... how should I start? Any introductionary resources would be welcomed. …
Cindy88's user avatar
  • 431
1 vote
2 answers
2k views

Lagged dependent variable, yes or no?

I'm currently modeling the liquidity of German stocks, with panel data regression (fixed time effects), and my independent variables are price (logged), freefloat number of shares (logged) and book-to-market-value … This is a problem because: Estimates of the regression coefficients are inefficient. Forecasts based on the regression equations are sub-optimal. …
Cindy88's user avatar
  • 431