Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: autocorrelation significance


From   Mahmoud Abd-El-Aal <ma7205@bristol.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: autocorrelation significance
Date   Thu, 31 Jul 2008 14:54:34 +0100 (BST)

Hi,
I am trying to replicate the paper by Brock, Lakonishok and LeBaron:
Simple technical trading rules and the stochastic properties of stock
returns.
They calculate the estimated autocorrelation and test for its significance
at the 1 and 5% levells for a two tailed test, they also do that with
skewness as well as kurtosis.
Can anybody help with how to do that as i am using stata and i don t know
how to deal with it. Any help is really appreciated as its for my
dissertation.


-- 
Mahmoud Abd El Aal
MSc. F&I
UOB


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index