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Regression Models with Categorical Variables 117 If Di = 0, the data Xi 1 belong to the first category; if Di = 1, the data Xi 1 ...

118 The Basics of financial economeTrics Thus far we have assumed that there is no interaction between the cat- egorical and the ...

Regression Models with Categorical Variables 119 We can introduce the dummy D as well as its interaction with the N quan- titati ...

120 The Basics of financial economeTrics their respective squared errors. The p-values associated with each coefficient estimate ...

Regression Models with Categorical Variables 121 where Spreadi=option-adjusted spread (in basis points) for the bond issue of co ...

122 The Basics of financial economeTrics investment-grade and noninvestment grade bonds using all observations. We will then tes ...

Regression Models with Categorical Variables 123 tAble 6.1 (continued) Issue # Spread, 11/28/05 CCC+ and Below Coupon Coverage R ...

124 The Basics of financial economeTrics tAble 6.1 (continued) Issue # Spread, 11/28/05 CCC+ and Below Coupon Coverage Ratio Log ...

Regression Models with Categorical Variables 125 tAble 6.1 (continued) Issue # Spread, 11/28/05 CCC+ and Below Coupon Coverage R ...

126 The Basics of financial economeTrics tAble 6.2 (continued) Issue # Residuals Residuals Dummy 1 Residuals Dummy 2 14     54.1 ...

Regression Models with Categorical Variables 127 tAble 6.2 (continued) Issue # Residuals Residuals Dummy 1 Residuals Dummy 2   6 ...

128 The Basics of financial economeTrics tAble 6.2 (continued) Issue # Residuals Residuals Dummy 1 Residuals Dummy 2 106   –50.4 ...

Regression Models with Categorical Variables 129 tAble 6.2 (continued) Issue # Residuals Residuals Dummy 1 Residuals Dummy 2 153 ...

130 The Basics of financial economeTrics tAble 6.2 (continued) Issue # Residuals Residuals Dummy 1 Residuals Dummy 2 196   –42.7 ...

Regression Models with Categorical Variables 131 Other regression results are: SSR: 1.4744e + 006 F-statistic: 76.83 p-value: 0 ...

132 The Basics of financial economeTrics The Chow test has the value 14.73. The F-statistics and the Chow test suggest that ther ...

Regression Models with Categorical Variables 133 We use the S&P 500 as a proxy for the market returns and the 90-day Treasur ...

134 The Basics of financial economeTrics tAble 6.3 (continued) Mutual Fund Month Ended rM rft Dummy Dt rM – rft = xt Dtxt A rt B ...

Regression Models with Categorical Variables 135 tAble 6.3 (continued) Mutual Fund Month Ended rM rft Dummy Dt rM – rft = xt Dtx ...

136 The Basics of financial economeTrics tAble 6.3 (continued) Mutual Fund Month Ended rM rft Dummy Dt rM – rft = xt Dtxt A rt B ...