Multiple regression data problems

[davidh1818]

Dear all,

I am currently doing an event study about COVID-19 and the differences between the G7 and BRIC. To determine possible important factors, I am considering looking at country specific characteristics (GDP per capita, Exports, country density) and COVID-19 specific data (amount of cases, health expenditures etc).

However, most of the data that is available of the country specific characteristics (like GDP per capita or amount of exports), has the same value during 3 months up to a year. I understand that I should not expect this to change daily, but is it possible to regress abnormal returns with variables that are mostly constant during these periods? Furthermore, if I choose (-3, +3), should I regress the exports and GDP per capita over the same 7 days (so that will mean I am using two constant variables) or can I regress abnormal returns with the past 2 years of GDP per capita data?

Thanks so much in advance,

 

[Deleted member 4993]

Dear all,

I am currently doing an event study about COVID-19 and the differences between the G7 and BRIC. To determine possible important factors, I am considering looking at country specific characteristics (GDP per capita, Exports, country density) and COVID-19 specific data (amount of cases, health expenditures etc).

However, most of the data that is available of the country specific characteristics (like GDP per capita or amount of exports), has the same value during 3 months up to a year. I understand that I should not expect this to change daily, but is it possible to regress abnormal returns with variables that are mostly constant during these periods? Furthermore, if I choose (-3, +3), should I regress the exports and GDP per capita over the same 7 days (so that will mean I am using two constant variables) or can I regress abnormal returns with the past 2 years of GDP per capita data?

Thanks so much in advance,

If I were to tackle this problem, I would first run a parametric study, with all the possible variables (using past 2 years of GDP per capita data), before running full-scale ANOVA.

 

[davidh1818]

Thank you for your reply. I will read into that in a minute! Just to be sure, I want to clarify the problem. I am calculating abnormal returns on the stock market on the 3 days after the first COVID-19 patient is detected. Should I find data for those 3 days only or is it possible to regress using data of 6 months prior and 6 months after the first COVID-19 patient is detected? That data might be too far away in the past or future to be significant, but using only 3 days does not seem enough to have explanatory power as well, right?

If I were to tackle this problem, I would first run a parametric study, with all the possible variables (using past 2 years of GDP per capita data), before running full-scale ANOVA.

 

[davidh1818]

To add something, most of my independent variables are fixed (since they are only reported yearly). How do people do multiple regressions for event studies with fixed independent variables? Just go with the same number every time?