Questions tagged [variance]
The variance tag has no usage guidance.
8
questions with no upvoted or accepted answers
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Independent variables that don't vary much but are essential for the theoretical framework, what to do?
I'm working on finding out the impact of Covid.19 on commuting so income and distance will be relevant variables to include. However, these variables dont change from period to period, so it's ...
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Clustering Degrees of Freedom Correction
In a regression model estimated with $n$ observations,
$$y_i = \beta_0 +\beta_1 x_{1i}+...+\beta_k x_{ki} +u_i$$
the baseline degrees of freedom adjustment when calculating standard errors is to ...
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WLS or Feasible GLS?
For a question like this, would I use WLS or Feasible GLS? I am leaning towards WLS but my lecture slides tell me GLS is used when there is more than one variable that drives the residual variance.
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Do market volatility and optimal trade confirmation strength correlate?
In this video, it is suggested that in high volatility markets, trading algorithms which wait for more confirmation to buy perform better than trading algorithms which buy more quickly, while in low ...
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Back-testing for FX VaR model
Suppose that a company for modeling market risk arising from Foreign Exchange positions in its portfolio decides to use the VaR model to compute the minimal amount of capital to hold. Assume that the ...
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variance of error term(econometrics)
I don't understand that the pointed part(with a red circle) is a negative sign. I expect it should be a positive sign since the whole parenthesis was squared. I don't know where I got wrong.
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how to adjust price data due to clock changes?
I'm trying to analyze the hourly price variation of the electricity market. However, because of clock changes, due to daylight saving time, we have a missing hour in March and an additional hour in ...
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Covariance between regression coefficient and residual
Given regression equation Y=Xβ + ε which satisfies all classical assumptions including those of homoscadasticity
Estimated regression equation using OLS is the following -
Y=Xb + e
Where, b is ...
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