[RsR] [R-SIG-Finance] Outliers in the market model that's used toestimate `beta' of a stock
Adams, Zeno
Zeno@Ad@m@ @end|ng |rom eb@@edu
Fri Sep 19 09:58:48 CEST 2008
just two small remarks,
1. the point
> x[weird.rM,]
rj rM
2004-05-17 -11.89823 -13.05386
is actually not a distorting outlier since it lies pretty much on the regression lines.
this is what Martin and Simin (2003) in the article mentioned earlier in the winzorization topic call a "good" outlier, since it confirms rather than disproves the parameter estimates.
2. except for the normal regression line, all other lines seem to be very similar so that choice does not really matter so much, dont you think so?
Zeno
EBS European Business School gemeinnuetzige GmbH - Sitz der Gesellschaft: Wiesbaden, Amtsgericht Wiesbaden HRB 19951 - Umsatzsteuer-ID DE 113891213 Geschaeftsfuehrung: Prof. Dr. Christopher Jahns, Rektor; Dr. Reimar Palte, Kanzler; Sabine Fuchs, Prokuristin; Verwaltungsrat: Dr. Hellmut K. Albrecht, Vorsitzender
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