首页 | 学习中心 | 注册 登录
返回列表 发帖
anothercfainnyc

Rank: 1

UID
223369 
帖子
207 
主题
40 
注册时间
2011-7-11 
最后登录
2014-8-7 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-7-11 19:28 | 只看该作者

Correcting for ARCH

correct
So, I know how to correct for traditional conditional heteroskedasticity, but how do you correct for Auto-regressive Conditional heteroskedasticity?
收藏 分享

yodacaia

Rank: 2

UID
223454 
帖子
341 
主题
12 
注册时间
2011-7-11 
最后登录
2014-8-7 
2#
发表于 2011-7-11 19:28 | 只看该作者
generalized least squares, whatever that means....


from wikipedia: is a technique for estimating the unknown parameters in a linear regression model. The GLS is applied when the variances of the observations are unequal (heteroskedasticity), or when there is a certain degree of correlation between the observations. In these cases ordinary least squares can be statistically inefficient, or even give misleading inferences.

TOP

kingstongal

Rank: 2

UID
223407 
帖子
318 
主题
8 
注册时间
2011-7-11 
最后登录
2014-8-2 
3#
发表于 2011-7-11 19:28 | 只看该作者
Use white-corrected std errors for Conditional Heterosked

Use Hansen method to adjust std errors for Serial Correlation (auto-regressive)

Use Hansen method to adjust std errors for Cond Heterosked AND serial correl; it adjust for both.

TOP

kickthatcfa

Rank: 2

UID
223439 
帖子
318 
主题
7 
注册时间
2011-7-11 
最后登录
2014-8-7 
4#
发表于 2011-7-11 19:28 | 只看该作者
really you think its new?

TOP

ppls

Rank: 2

UID
217812 
帖子
300 
主题
165 
注册时间
2011-5-24 
最后登录
2012-9-12 
5#
发表于 2011-7-11 19:28 | 只看该作者
I should probably rephrase: I don't recall hearing about this stuff. It's possible I saw it and didn't pay attention to it, but I seriously don't remember either of those things at all. If they had shown up on the exam last year, I would've had no idea wtf they were.

TOP

KungFuPanda

Rank: 2

UID
223392 
帖子
298 
主题
10 
注册时间
2011-7-11 
最后登录
2014-8-2 
6#
发表于 2011-7-11 19:28 | 只看该作者
SeesFA Wrote:
-------------------------------------------------------
> Use white-corrected std errors for Conditional
> Heterosked
>
> Use Hansen method to adjust std errors for Serial
> Correlation (auto-regressive)
>
> Use Hansen method to adjust std errors for Cond
> Heterosked AND serial correl; it adjust for both.

Good post SeesFA!

Also, use stepwise regression to remove variables from regression to minimize multicollinearity.



Edited 1 time(s). Last edit at Tuesday, April 12, 2011 at 01:04AM by Iginla2010.

TOP

Otabek

Rank: 2

UID
223425 
帖子
243 
主题
9 
注册时间
2011-7-11 
最后登录
2014-8-7 
7#
发表于 2011-7-11 19:28 | 只看该作者
what is stepwise regression

TOP

President1988

Rank: 2

UID
217813 
帖子
315 
主题
177 
注册时间
2011-5-24 
最后登录
2012-9-12 
8#
发表于 2011-7-11 19:28 | 只看该作者
Correction of multicollinearity is not simple. It often results from too many variables in the model caused by "over-fitting".

In stepwise regression you examine the impact of each variable to the model step by step. The variable that cannot contribute much to the variance explained (not statistically significant) would be removed.



Edited 1 time(s). Last edit at Tuesday, April 12, 2011 at 12:44PM by Iginla2010.

TOP

ayodayo

Rank: 2

UID
223433 
帖子
311 
主题
9 
注册时间
2011-7-11 
最后登录
2016-4-19 
9#
发表于 2011-7-11 19:28 | 只看该作者
@magicskyfairy

good one . based on your experience in FRA what are the 'red alert' areas offcourse pension and intercorp investments but I dont understand the intenton behind the first 2 readings( Inventory valuation and long lived assets ) when we have already studied in Level 1 , that apart is that area really brutal (b/c of high weight) ? and how about equity ? I havent even started yet , even though I am a buy-side analyst I havent really used 2step or a 3 step ddm

TOP

返回列表