Financial professional with expertise in financial modeling, risk management, and related quantitative methods including Monte Carlo simulation, linear and logit regression, and statistical hypotheses testing.

Aug
18
answered Granger Causality coefficient comparison
Aug
15
answered AR terms and independent variable as regressors
Aug
10
comment Why there are two different results?
The best way to do that is just to observe each independent variable's correlation coefficient with the dependent one and check whether those correlations are statistically significant. With a sample of 119 I bet that each and everyone of them are indeed statistically significant.
Aug
10
answered Why there are two different results?
Jul
2
awarded Curious
Jun
25
comment what does an actual vs fitted graph tell us?
Nick Cox, I agree with your "propaganda" bit. I have seen so many excellent looking plots conveying "see how good my model is" only to uncover such models are very often completely mispecified. The variables are nonstationary and not detrended. Thus, of course the scatter plots look excellent. But, the models are not worth beans as they have a Unit Root issue among many others. Once detrended, such models readily collapse.
Jun
24
answered what does an actual vs fitted graph tell us?
Apr
16
awarded Nice Answer
Apr
14
accepted What is a user-friendly and powerful software package for econometrics modeling?
Apr
14
accepted Does heteroskedasticity matter if you have a large enough sample?
Apr
13
comment Can a Linear-Log model be used instead of Robust Standard Errors?
I thought this was an international convention that "Y" is a dependent variable and "X" is an independent variable. And, I have never come across the reverse.
Apr
13
comment Can a Linear-Log model be used instead of Robust Standard Errors?
"Can" is fine. You are welcome to edit the text. Otherwise, as stated I trust the language is clear enough to warrant precise responses.
Apr
12
comment Mann-Whitney test
I thought K-S was really more appropriate for testing whether two distributions are similar or not... kind of an alternative to a Chi-Square test.
Apr
12
asked Can a Linear-Log model be used instead of Robust Standard Errors?
Apr
12
comment Mann-Whitney test
Hannah, as long as you can rank the values, Mann Whitney will work and be meaningful.
Apr
12
comment Mann-Whitney test
Glen_b, thanks for the input. I edited my response by removing my recommendation of using the Jarques-Berra test in this situation.
Apr
12
revised Mann-Whitney test
deleted 24 characters in body
Apr
12
answered Mann-Whitney test
Apr
11
answered Multiple testing problem - can these test results be caused by chance?
Apr
5
answered The effect of ommission of relevant variable in the regression model on adjusted $R^2$
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