Search results

  1. M

    Running time-series regressions on discontinuous datasets: is it legitimate?

    I would like to run a simple time-series regression, to estimate the sensitivity of my dependent variable to a set of explanatory variables. However, the dataset could be subdivided into subsets that fall under specific categories. For example, a time-series of stock returns could be subdivided...
  2. M

    How to use LASSO with common shocks (economic factors)

    I am trying to use LASSO for variable selection, on a balanced panel. I have a total of 14 predictors, and would like to reduce this variable space. The panel is comprised of n dependent variables, each having t observations. I am planning to run LASSO on the cross-section for each time t...
  3. M

    How to use LASSO with common shocks

    I am trying to use LASSO for variable selection, on a balanced panel. I have a total of 14 predictors, and would like to reduce this variable space. The panel is comprised of n dependent variables, each having t observations. I am planning to run LASSO on the cross-section for each time t...
  4. M

    Using LASSO with economic fundamentals as potential predictors

    I am looking to use LASSO for variable selection, in the context of an economic factor model. My response variable is a balanced panel dataset, with n securities, each having t observations. My independent variables - potential predictors - are k economic variables: each of the k variables is...
  5. M

    Forward stepwise regression procedure: application to panel data

    I am in the process of evaluating the importance of some factors in predicting stock returns. In this context, I would like to implement the forward stepwise regression methodology. My dataset is comprised of 13,000 securities with monthly data from 1984 to 2012. Since this is my first...