Hi,
Following the recent discussion on the bootstrapped skewness adjusted t
statistic. This is my attempt at a program to implement this. The following
ado calculates the skewness adjusted t statistic based on Johnson(1978) and
made very popular in finance area by LBT(1999). As I mentioned in an earlier
post there is an ado called Johnson which implements this test. But somehow
the skewnesss adjusted t stat values are different when I use that program.
I have double checked the calculation for this by manually calculating the
skewness adjusted t-stats.
I have two programs One to calculate the skewness adjusted t stats
(rtskew.ado) and the other to do the bootstrap (skewt.ado)
Could someone please tell me If I can do this with one program and how?
Ideally what I would want is for the user to say
. skewt varname
And the varname feeds into the rtskew program.
In the following line in the skewt program
bootstrap r(ratio), saving(C:\mydata, replace) reps(1000) size(int(_N/4)):
skewt
is there a way to say something like (int(_N/`x')), and get the value of x
from the user.
My programs follow...
************start*********************
capture program drop rtskew
program define rtskew, rclass
mac def S_1 /* the skewness adjusted t stats */
foreach var of local 0 {
capture confirm numeric variable `var'
if _rc==0 {
drop if `var'==.
quietly sum `var',detail
local n = sqrt(r(N))
local u = r(mean)
local v = r(sd)
local g = r(skewness)
local s= _result(3)/r(sd)
di in gr _col(20) "stats from the sample"
di ""
di in gr _col(20) "N coefficient = `n'"
di in gr _col(20) "S-coefficient = `s'"
di in gr _col(20) "G-coefficient = `g'"
di in gr _col(20) "Sample mean = `u'"
mac def S_1 = (`n') * ((`s') + ((1/3) * (`g') * ((`s')^2)) +
((1/(6*((`n')^2)))* (`g')))
else {
di "`var' is not a numeric variable skewness adjusted t-statistic cannot be
calculated."
}
return scalar ratio= $S_1
}
}
End
************end********************
To bootstrap the t statistic I need another program
*********start******************
preserve
capture program drop skewt
program define skewt, rclass
rtskew mpg
return scalar ratio= $S_1
end
bootstrap r(ratio), saving(C:\mydata, replace) reps(1000) size(int(_N)):
skewt
estat bootstrap, all
use C:\mydata,clear histogram _bs_1
centile _bs_1, centile(.5,99.5, 2.5, 97.5, 5,95)
restore
***********end*******************
Thank you very much
rajesh
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