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st: Bootstrap and Technical analysis


From   Mahmoud Abd-El-Aal <ma7205@bristol.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Bootstrap and Technical analysis
Date   Fri, 15 Aug 2008 13:55:02 +0100 (BST)

Dear stata listers,
I am trying to replicate the calculations in Brock, Lakonishok and Lebaron
1992 paper about technical analysis.
I am using two null models, the random walk with a drift and the AR 1
in the study, they produce tables that compare the simulated means and
standard deviations from the return series of the technical rules with the
original Index returns.

My problem is basically comparing the means and standard deviations using
the bootstrap
If i type the command :
bootstrap (location: mean=r(mean)), rep(500): sum var1, detail
this gives me only var1 results and i have to compare var1 and var2

i tried to preform a ttest using bootstrap in order to see if the two
means are equal but this did not help as i encounter problems running the
t-test with bootstrap

All in all i am stuck and this is the last part for me to finish my
masters dissertation, so any help is needed. thanks all.
Best Regards,
Mahmoud


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