Other Topics in Applied Regression Analysis

Cheng-Few Lee (), Hong-Yi Chen () and John Lee ()
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Cheng-Few Lee: Rutgers University, Department of Finance and Economics, Rutgers Business School
Hong-Yi Chen: National Chengchi University, Department of Finance
John Lee: Center for PBBEF Research

Chapter Chapter 3 in Financial Econometrics, Mathematics and Statistics, 2019, pp 55-113 from Springer

Abstract: Abstract Following the previous chapter, this chapter discusses other topics of multiple regressionMultiple regression analysis. These topics include multicollinearityMulticollinearity, heteroscedasticityHeteroscedasticity, autocorrelationAutocorrelation, model specification and specification bias, nonlinear modelsNonlinear models, lagged dependent variables, dummy variablesDummy variables, and regressionMultiple regression with interaction variables. In the appendices, we show how multiple regression can be used for finance applications such as dynamic ratio analysis, term structure of interest rate, partial adjustment dividend behavior model, logistic model, and probit model.

Keywords: Autocorrelation; Credit risk; Dummy variables; Heteroscedasticity; Interaction variables; Logistic regression; Multicollinearity; Nonlinear models (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4939-9429-8_3

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DOI: 10.1007/978-1-4939-9429-8_3

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