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Regression Models with Categorical Variables 137 Dependent Categorical Variables Thus far we have discussed models where the exp ...

138 The Basics of financial economeTrics A major drawback of the linear probability model is that the predicted value may be neg ...

Regression Models with Categorical Variables 139 fund is defunct (did not survive) and 0 if it survived. The explanatory vari- a ...

140 The Basics of financial economeTrics normal cumulative probability distribution, it is standard cumulative prob- ability dis ...

Regression Models with Categorical Variables 141 ■ (^) A linear probability model assumes that the function to be estimated is l ...

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143 Chapter 7 Quantile regressions a fter reading this chapter you will understand: ■ (^) How simple and multiple regressions sh ...

144 The Basics of financial economeTrics Limitations of Classical Regression Analysis Before discussing quantile regressions, le ...

Quantile Regressions 145 The objective is to find values of β that would minimize the error. While the idea of quantile regressi ...

146 The Basics of financial economeTrics the entire distribution of the data. Hence, it might be useful to estimate the relation ...

Quantile Regressions 147 The results for nine quantiles are presented in Table 7.1. The intercept term reflects returns received ...

148 The Basics of financial economeTrics Applications of Quantile Regressions in Finance One of the first applications of quanti ...

Quantile Regressions 149 determine a portfolio manager’s style. The data used in this application are times series data. In our ...

150 The Basics of financial economeTrics cause an average increase of 1.04% in the fund’s return. Since the classical multivaria ...

Quantile Regressions 151 The results of this quantile process are shown in Table 7.2. The results show that the mid cap value in ...

152 The Basics of financial economeTrics leverage ratio for the 189 firms was zero (i.e., no leverage) to 99%. The data also rev ...

Quantile Regressions 153 larger firms tend to have diversified investments and easier access to capital, it would be easier for ...

tab Le 7.3 Estimated Parameters by Quantiles to Determine the Capital Structure of Petroleum Q(0.10) Q(0.20) Q(0.30) Q(0.40) Q(0 ...

Quantile Regressions 155 market cap increases the debt in the capital structure declines. This finding may be unique to the petr ...

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