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cpfiffer/reg-results.txt

Created April 1, 2020 22:57
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reg-results.txt
Formula:
returns ~ BITX + lag_returns + log_active + lag_active + log_avg_size + log_med_size + log_mode_size + native_transactions + :(fe(yearmonth))
Fixed Effect Model
=======================================================================================
Number of obs: 1066 Degrees of freedom: 44
R2: 0.157 R2 Adjusted: 0.122
F Statistic: 12.4004 p-value: 0.000
R2 within: 0.106 Iterations: 1
Converged: true
=======================================================================================
Estimate Std.Error t value Pr(>|t|) Lower 95% Upper 95%
---------------------------------------------------------------------------------------
BITX 0.489034 0.0555667 8.80084 0.000 0.379996 0.598072
lag_returns -0.235855 0.0462033 -5.10472 0.000 -0.326519 -0.145191
log_active 0.0372682 0.018053 2.06438 0.039 0.00184312 0.0726933
lag_active -0.00234402 0.00763757 -0.306906 0.759 -0.0173311 0.0126431
log_avg_size 0.043847 0.0221221 1.98204 0.048 0.000437011 0.0872569
log_med_size -0.00184289 0.00172966 -1.06546 0.287 -0.00523698 0.00155121
log_mode_size -0.000458268 0.000836715 -0.547699 0.584 -0.00210014 0.00118361
native_transactions -0.00479581 0.0059714 -0.80313 0.422 -0.0165134 0.0069218
=======================================================================================
Formula:
btc_returns ~ BITX + lag_btc_returns + log_active + lag_active + log_avg_size + log_med_size + log_mode_size + native_transactions + :(fe(yearmonth))
Fixed Effect Model
========================================================================================
Number of obs: 1066 Degrees of freedom: 44
R2: 0.075 R2 Adjusted: 0.036
F Statistic: 1.30396 p-value: 0.245
R2 within: 0.016 Iterations: 1
Converged: true
========================================================================================
Estimate Std.Error t value Pr(>|t|) Lower 95% Upper 95%
----------------------------------------------------------------------------------------
BITX 0.0944018 0.0415075 2.27433 0.023 0.0129521 0.175852
lag_btc_returns -0.00117315 0.0563355 -0.0208244 0.983 -0.11172 0.109373
log_active 0.0252597 0.01716 1.47201 0.141 -0.00841309 0.0589325
lag_active 0.00802343 0.00573512 1.399 0.162 -0.00323053 0.0192774
log_avg_size 0.035786 0.0212556 1.6836 0.093 -0.00592366 0.0774957
log_med_size -0.0013447 0.00146308 -0.919092 0.358 -0.00421568 0.00152627
log_mode_size -0.00067646 0.000698266 -0.968772 0.333 -0.00204666 0.000693738
native_transactions 0.000912847 0.0054194 0.168441 0.866 -0.00972158 0.0115473
========================================================================================
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