DYNAPORTE'S STEPWISE REGRESSION
DynaPorte's powerful stepwise linear regression package aids you in discovering the combination of macroeconomic and market factors that cause your investment returns to change over time. DynaPorte determines the level of influence that each factor has on your investments. Then, apply the resulting model to any subsequent time period to test out-of-sample forecasting ability.
- Set stepwise qualification levels for the inclusion of significant factors.
- Adjust for the impact of overlapping data.
- Fit the regression in one time interval and evaluate the regression equation in an out-of-sample time interval.
- Obtain t-statistics, p-statistics and confidence intervals on all factor coefficients.
- Visualize actual, fit and forecast data several ways.