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

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

Subject |
RE: st: ado coding help needed |

Date |
Thu, 6 Mar 2008 15:52:19 -0000 |

Hi, Thank you Scott very much for help. It is very much appreciated. This gives me enough ammunition to go ahead and improve it further. This is a very commonly used procedure in empirical corporate finance research. May be it is too common !! And often used without considering other alternatives as was pointed out before by Maarten . But, I know at least four people personally who are using the procedure for their thesis. Therefore, something like this, once properly finished would be very useful. Kindly let me know if you have any ideas on how to improve this further... Sorry for not including the full reference. LBT (1999) is 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. Johnson(1978) is Johnson, Norman J. 1978. Modified t Tests and Confidence Intervals for Asymmetrical Populations. Journal of the American Statistical Association 73, no. 363:536-544. Thanks again for your help Rajesh -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Scott Merryman Sent: 06 March 2008 14:03 To: statalist@hsphsun2.harvard.edu Subject: Re: st: ado coding help needed On Thu, Mar 6, 2008 at 4:24 AM, Rajesh Tharyan <R.Tharyan@exeter.ac.uk> wrote: <snip> > 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? > <snip> What is Johnson(1978) and LBT(1999)? You might want to take a look at -syntax- Here is one way: capture program drop skewt program define skewt, rclass syntax varlist, [bs saving(string) size(integer 1) reps(integer 100) replace *] foreach var of varlist `varlist' { capture confirm numeric variable `var' if _rc==0 { quietly sum `var',detail di "" di in gr _col(5) "`var' stats from the sample" di "" di in gr _col(5) "N coefficient = `=sqrt(r(N))'" di in gr _col(5) "S-coefficient = `=r(mean)/r(sd)'" di in gr _col(5) "G-coefficient = `r(skewness)'" di in gr _col(5) "Sample mean = `r(mean)'" di "" local ratio = (`=sqrt(r(N))') * ((`=r(mean)/r(sd)') + ((1/3) * (`r(skewness)') * ((`=r(mean)/r(sd)')^2)) /// +((1/(6*((`=sqrt(r(N))')^2)))* (`r(skewness)'))) return scalar ratio_`var'=`ratio' } else { di as input "`var'" as text " is not a numeric variable skewness adjusted t-statistic cannot be calculated." } if "`bs'" == "bs" { if "`saving'" != "" { local saving `saving'_`var' } bootstrap r(ratio_`var'), saving("`saving'", `replace') reps(`reps') size(`=int(_N/`size')') `options': rtskew `var' } } end Example: sysuse auto,clear skewt weight skewt mpg gear price, bs reps(10) size(2) nowarn nohead saving(bs) replace Scott * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**Re: st: ado coding help needed***From:*"Scott Merryman" <scott.merryman@gmail.com>

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