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Math Help - Common Factor Restrictions

  1. #1
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    Common Factor Restrictions

    Hello,

    I am currently writing my Master-Thesis and got a problem, which I have been trying to solve for the last three days.
    I have to conduct a Cochrane-Orcutt Regression, in order to adequately deal with autocorrelationd and GARCH-Effects.

    My Professor said that I have to test for Common Factor Restrictions, preferably using a Wald-Test. Furthermore he mentioned that the common factor restircion must hold if the AR(1) process is to be chosen in lieu of a more general model.

    The paper I am writing about concludes that the common factor restriction could not be rejected in any case and then carries on with the Cochrane-Orcutt regression.

    I am completely lost tackling this problem, though I am not a newbie I really could need some help.

    Since I am studing in the UK and currently life in Germany, the face-to-face communication is problematic.

    Help or links are much appreciated !

    Regards,
    Canu
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  2. #2
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    Due North
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    Re: Common Factor Restrictions

    You might have more luck in the Advanced Statistics forum on this site...
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  3. #3
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    Re: Common Factor Restrictions

    Yeah, thanks! Finally, I was able to solve it, this one helped a lot: The Cochrane-Orcutt method for Stata Manual 2009, page 165 onwards.
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  4. #4
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    Re: Common Factor Restrictions

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