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RE: st: RE: montecarlo simulations with actual distributions


From   "Martin Weiss" <martin.weiss@uni-tuebingen.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: montecarlo simulations with actual distributions
Date   Wed, 2 Jul 2008 13:57:24 +0200

Well, with my limited knowledge of MC, that is a question of the sampling
distribution of your estimator and how fast it converges to the true
population parameter of interest. In the case of the canonical example of
the mean, precision, i.e. the standard deviation, decreases in the square
root of the sample size. 
The number of replications is easy to check for you, as today´s computing
power allows almost unlimited replications within a reasonable time frame.
So I would devote more time thinking about the properties of the estimator
than about number of reps...

Martin Weiss
_________________________________________________________________

Diplom-Kaufmann Martin Weiss
Mohlstrasse 36
Room 415
72074 Tuebingen
Germany

Fon: 0049-7071-2978184

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SSRN: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=669945


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of emanuele
canegrati
Sent: Wednesday, July 02, 2008 1:51 PM
To: statalist@hsphsun2.harvard.edu
Subject: RE: st: RE: montecarlo simulations with actual distributions


Martin,





thank you very much indeed. Is there any minimum number of simulations to
have reliable results?





Best





Emanuele


> From: martin.weiss@uni-tuebingen.de
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: montecarlo simulations with actual distributions
> Date: Wed, 2 Jul 2008 12:36:15 +0200
>
> - h simulate - is for you. Its example program syntax at the bottom gives
> you the clearest possible advice as to the implementation of MC in Stata.
>
> Martin Weiss
> _________________________________________________________________
>
> Diplom-Kaufmann Martin Weiss
> Mohlstrasse 36
> Room 415
> 72074 Tuebingen
> Germany
>
> Fon: 0049-7071-2978184
>
> Home: http://www.wiwi.uni-tuebingen.de/cms/index.php?id=1130
>
> Publications: http://www.wiwi.uni-tuebingen.de/cms/index.php?id=1131
>
> SSRN: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=669945
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of emanuele
> canegrati
> Sent: Wednesday, July 02, 2008 12:30 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: montecarlo simulations with actual distributions
>
>
> Dear Users,
>
>
>
>
>
> 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. Which is the programme I
> have to write? I have to perform any non-parametric analysis before in
order
> to calculate the actual distribution of my returns?
>
>
>
>
>
> Thank you in advance.
>
>
>
>
>
> Kind Regards,
>
>
>
>
>
> Emanuele Canegrati
>
> _________________________________________________________________
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