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R: R: st: RE: montecarlo simulations with actual distributions


From   "Carlo Lazzaro" <carlo.lazzaro@tin.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   R: R: st: RE: montecarlo simulations with actual distributions
Date   Wed, 2 Jul 2008 15:26:23 +0200

Dear Emanuele,

within Stata (I have the 9.2/SE release) Keyword Search template, type non
parametric bootstrap regression and you will obtain:


search for non parametric bootstrap regression
(manual:  [R] search)
----------------------------------------------------------------------------
----------------------------------------------

        Keywords:  non parametric bootstrap regression
          Search:  (1) Official help files, FAQs, Examples, SJs, and STBs


Search of official help files, FAQs, Examples, SJs, and STBs

[R]     qreg  . . . . . . . . . . . . . Quantile (including median)
regression
        (help qreg)

SJ-5-4  st0094  .  CIs for predicted outcomes in reg. models for cat.
outcomes
        (help prvalue, prgen if installed)  . . . . . . . J. Xu and J. S.
Long
        Q4/05   SJ 5(4):537--559
        discusses endpoint transformation, delta method, and
        bootstrapping for computing confidence intervals for
        predictions and discrete changes in predictions for
        regression models for categorical outcomes; ability to
        compute confidence intervals added to prvalue and prgen

STB-58  sg153 . . . . . . . Censored least absolute deviations estimator:
CLAD
        (help clad if installed)  D. Jolliffe, B. Krushelnytskyy, & A.
Semykina
        11/00   pp.13--16; STB Reprints Vol 10, pp.240--244
        censored least absolute value deviations (CLAD) estimator
        with bootstrap estimates of its sampling variance (a
        generalization of qreg that is robust to heteroscedasticity)

(end of search)

HTH and Kind Regards,

Carlo
-----Messaggio originale-----
Da: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Per conto di emanuele
canegrati
Inviato: mercoledý 2 luglio 2008 15.13
A: statalist@hsphsun2.harvard.edu
Oggetto: RE: R: st: RE: montecarlo simulations with actual distributions


Dear All,





thank you very much for your answers. I am performing the bootstrap
regressions. Do you know which is the STATA command to perform
non-parametric bootstrap regressions?





Thank you.





Emanuele

> From: carlo.lazzaro@tin.it
> To: statalist@hsphsun2.harvard.edu
> CC: emanuele.canegrati@hotmail.it
> Subject: R: st: RE: montecarlo simulations with actual distributions
> Date: Wed, 2 Jul 2008 14:16:26 +0200
>
>
> Dear Emanuele,
> following Martin'reply and Maarten's advice on performing bootstrap:
> -the number of replications may vary according what you are intended to
> check for (plase, see Efron B, Tibshirani RJ. An Introduction to the
> Bootstrap. Chapman and Hall: New York, 1993);
> - for instance, as far as the comparison of the mean of costs in health
care
> programmes evaluation is concerned, the number of bootstrap replications
> vary between 1000 and (more often) 10,000. For confidence interval and
> regression coefficients the number is usually lower (again, please see the
> abovementioned reference).
>
> If you make up your mind to perform a bootstrap test on your original data
> set, another decision to be taken is what kind of bootstrap: parametric or
> non parametric? I would recommend the non parametric bootstrap, since it
is
> teheoretically closer to the core mininig ot this procedure (ie no
> assumptions about the distribution from which the original sample has been
> drawn) and requires less computational effort. Usually, parametric and non
> parametric bootstrap tests give back similar results.
>
> HTH and Kind Regards,
>
> Carlo
>
> -----Messaggio originale-----
> Da: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] Per conto di emanuele
> canegrati
> Inviato: mercoledý 2 luglio 2008 13.51
> A: statalist@hsphsun2.harvard.edu
> Oggetto: 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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