Dear Stata-Listers,
I'm analyzing initial returns and long-run performance data for a sample of
some 200 initial public offerings. The data is skewed to the right side, all
tests reject the assumption of normality. Instead of using a simple one-sided
t-tests to find out whether the returns differ significantly from zero I
want to run a bootstrapped skewness-adjusted t-test. I was able to calculate the
skewness-adjusted t-statistic (suggested by Johnson 1978) in excel, but I
have no idea how to bootstrap the test. The literature on that issue can be
summarized as follows:
- take 1000 subsample of size n/4 from the original sample
- calculate skewness-adjusted t-statistics for each subsample
- compute the standard deviation of these 1000 t-statistics
- standardize the t-statistic of the empirical sample by dividing through
the standard deviation of the bootstrapped 1000 t-statistics
- compare the resulting value to the corresponding critial value of the
standard normal distribution.
Thanks in advance for any suggestions on the johnson t-test in stata and the
bootstrap command (whether it is bstrap, bs, bstat or bsample)
Jan Kuklinski
Witten/Herdecke University
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