Gamma Regression Model

Question

Dear community,

I need to run some gamma regressions for historical prices of different portfolios. Is there any way of doing that by using a single data input file rather than running a regression for every single portfolio? In other words what I am looking for is the TS Factory tool but for predictive tools.

Thanks,

alexnajm · Answer

The TS Factory tools are essentially batch macros of the regular TS tools, so that's the route I'd go down - building a batch macro to go through each portfolio and output a gamma regression model for each one!

caltang · Answer

If you have the predictive tool kit - you can try using the Gamma Regression tool:

I've done a log-link Gamma regression before, but I resorted to the Python tool ultimately because the results were different than the Gamma Regression tool for some reason. Items that were significant were found not to be significant in Python and vice versa. Is this something you're looking for?

Gawa · Answer

@diso

Though I'm not familiar with this topic, have you ever tried Time Series category tools? If not yet, you might find the tool you need within this category.