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Re: st: RE: montecarlo simulations with actual distributions


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: montecarlo simulations with actual distributions
Date   Wed, 2 Jul 2008 12:39:32 +0100 (BST)

---  emanuele canegrati wrote:
> > I have to perform some montecarlo simulations of market returns
> > with STATA. I would like to generate these returns from the
> > original time series under the condition they reflect the actual
> > PDF and so I think I need to calculate the mean and the standard
> > deviations of returns. 

--- Martin Weiss <martin.weiss@uni-tuebingen.de> wrote:
> - h simulate - is for you. 

-simulate- can be a real help in these cases. All that is left is
creating random samples from the observed data. This can be done using
the -bsample- command, see -help bsample-. Alternatively, what you want
is close to the bootstrap, instead that the aim of this excersice is
probably not to estimate the standard error/confidence interval, but to
look in some other way at the distribution of the results estimated in
the different samples. You can do that using -bootstrap- with the 
-saving()- option.

-- maarten

-----------------------------------------
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/
-----------------------------------------


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