1. A

    Linear model accounting for fixed effects vs. ordered probit

    I originally ran an ordered probit model on an ordinal dependent variable (values 1-12), however in order to account for fixed effects in my analysis I decided to run a simple OLS regression. Although I know that this goes against some of the assumptions of OLS, prior to accounting for fixed...
  2. M

    Creating a data set

    I'm doing my econometrics term paper on the arbitrage pricing theory, and I need to import the historical prices of a 100 shares over the 2006-2010 period, and then divide those 100 shares into portfolios of 5 shares each. I am completely lost on how to do this... Whenever I use the command...
  3. Z

    Dickey Fuller Test

    I am studying the Dickey Fuller test. The book of reference is Introductory Econometrics for Finance by C. Brooks. I firstly consider the zero mean Dickey Fuller test that uses the "random walk" type of regression: ΔY t =δY t−1 +u t The null hypothesis is that δ is zero and the...
  4. J

    Software for Creating Box Jenkins Model

    Can anyone recommend the best free software to use to create a box jenkins model for time series data? I need to create a model for a large set of data (ie over 10000 rows).
  5. I

    Best Model to use with Panel data for Trade Agreement

    I'm using panel data to examine the effects of a trade agreement. I have 9 data points for each country I'm examining. The trade agreement is for a specific region so the factors I'm using include region, if they are in the trade agreement and change in other industries. I'm using R so if...
  6. I

    Using instrumental variables to measure trade policy effects

    I'm an undergrad econ student trying to use R for the first time and I'm quite confused as to which script I should use and how to use it. I'm studying the effects of AGOA(African Growth and Opportunity Act) on textile exports of a nation and as such I've been trying to use three types of...
  7. H

    Deriving the Regression Model when E (u | x ) = 1 + + 2x

    Is the question, I'm not sure how to do it. I understand the concept of what its trying to have me prove that u doesn't depend on x, but I don't understand how to solve it. Any help you can give is appreciated. Thanks!