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From |
"Rajesh Tharyan" <R.Tharyan@exeter.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: Bootstrapped skewness-adjusted t-stat question |

Date |
Mon, 3 Mar 2008 14:19:05 -0000 |

Hi, But I could not the program to select only N/4 or N/2 of the sample. I couldn't figure out to automatically feed the value for size into bootstrap r(ratio), saving(C:\mydata, replace) reps(1000) size(10): skewt I am not sure if that can be done or how it can be done. rajesh -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nuno Sent: 03 March 2008 14:07 To: statalist@hsphsun2.harvard.edu Subject: RE: st: Bootstrapped skewness-adjusted t-stat question Thank you Rajesh. Didn't know that ado. -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Rajesh Tharyan Sent: 03 March 2008 13:37 To: statalist@hsphsun2.harvard.edu Subject: RE: st: Bootstrapped skewness-adjusted t-stat question Hi, The skewness adjustment in LBT(1999) is due to Johnson (1978).There is a user written ado which calculates the skewness adjusted t stats for you. . findit johnson I think we could incorporate this into the program to get what you want. I am not sure if this is right but this is what I did. The $S_7 in the johnson ado is the skewness adjusted t statistic. In the below program I did try to include size as follows bootstrap r(ratio), saving(C:\mydata, replace) reps(1000) size(10): skewt But that didn't change anything it shows that it uses all the 74 observations. However, after I run the program and say . return list It shows that r(N) = 10. ******start************ sysuse auto,clear keep mpg capture program drop skewt program define skewt, rclass version 9 johnson mpg=0 return scalar ratio = $S_7 end bootstrap r(ratio), saving(C:\mydata, replace) reps(1000): skewt estat bootstrap, all use C:\mydata,clear histogram _bs_1 centile _bs_1, centile(2.5, 97.5) *******end********* Any suggestions are valuable Thanks Rajesh -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nuno Sent: 02 March 2008 08:29 To: statalist@hsphsun2.harvard.edu Subject: RE: st: Bootstrapped skewness-adjusted t-stat question Thanks Maarten! -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Maarten buis Sent: 01 March 2008 23:02 To: statalist@hsphsun2.harvard.edu Subject: Re: st: Bootstrapped skewness-adjusted t-stat question --- Nuno <liststata@gmail.com> wrote: > I'm trying to calculate the bootstrapped skewness-adjusted t-stat > proposed by Lyon, Barber, and Tsai (1999), 'Improved Methods for Tests > of Long-Run Abnormal Stock Returns', The Journal of Finance, Vol. 54, > No. 1, pp. 165-201, in order to correct the skewness inherent to > stocks returns. If you worry about non-normality why not go for the whole range of tried and tested tests based on order statistics (sometimes called non-parametric statistics). Within Stata, Roger Newson has a whole lot of packages writen in this area, and he has also writen a number of articles on them. You can get them at: http://www.imperial.ac.uk/nhli/r.newson/papers.htm The approach in the paper you cite worry me a bit for two reasons (though I did not read it very carefully) : First, it looks like you are doing some form of bias correction using the bootstrap. The inventor of the bootstrap warns against such bias corrections as the estimate of the bias is measured very inacurately (Efron and Tibshirani 1993, pp. 138)). Second, the need to bootstrap some arbitrary amount less than the number of observations in order to get the right test indicates to me that something is not quite right with this method. The overal feel I got was that they were pursuing a dead-end by trying to make a t-test work for a case for which it was not designed, while there are other tests availabel that were designed for this situation. Again this is just a first impression, but I would reccomend taking a good long hard look at those non-parametric tests before continuing along this road. Hope this helps, Maarten Bradley Efron and Robert J. Tibshirani (1993) An Introduction to the Bootstrap. Chapman & Hall/CRC. ----------------------------------------- Maarten L. Buis Department of Social Research Methodology Vrije Universiteit Amsterdam Boelelaan 1081 1081 HV Amsterdam The Netherlands visiting address: Buitenveldertselaan 3 (Metropolitan), room Z434 +31 20 5986715 http://home.fsw.vu.nl/m.buis/ ----------------------------------------- __________________________________________________________ Sent from Yahoo! Mail. 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**References**:**RE: st: Bootstrapped skewness-adjusted t-stat question***From:*"Rajesh Tharyan" <R.Tharyan@exeter.ac.uk>

**RE: st: Bootstrapped skewness-adjusted t-stat question***From:*"Nuno" <liststata@gmail.com>

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