Rank: 5303 based on 15 downloads (last 30 days) and 1 file submitted
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Sven Thies

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Bremen University

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Professional Interests:
Computational Finance, Portfolio Management, Asset Allocation

 

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17 Mar 2014 Screenshot GRS Test Statistic Calculates F-Statistic and corresponding p-Value of the GRS-Test Author: Sven Thies grs, gibbonsrossshanken, cummulative alpha tes..., grs test statistic 15 0
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22 Feb 2012 regstats2 Regstats enhanced. Robust std.errors; loops on a matrix of responses, 'onlydata' model. Author: Oleg Komarov

I'm sorry. I just saw the post of Baltas and your answer.
Kind regards

22 Feb 2012 regstats2 Regstats enhanced. Robust std.errors; loops on a matrix of responses, 'onlydata' model. Author: Oleg Komarov

Dear Mr. Komarov,

I am just searching the Internet for an application to compute the HAC-Standard Error of Newey and West (1987) that I want to use to calculate an unbiased t-statistic of a sample I created.
The sample contents Buy-and-Hold excess returns of Firms over periods larger then 2 years. With a limited data sample you will only have enough observations when the Formation- and Holding periods are overlapping.
The question is now how I can extract the HAC standard error from your script regstats2.m to calculate the t-statistic with a robust standard error or especially if that’s possible.

I tried to write a PN but that didn't work. (Unknown e-mail address)

Thanks for the Help!
Sven

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