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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: Re: st: RE: RE: Bootstrap and Technical analysis |

Date |
Mon, 18 Aug 2008 18:21:05 +0100 |

Dear Mahmoud: First, you ask for a section on guidelines/rules about using Stata -- I think you mean Statalist. This is precisely one of the aims of the FAQ, which in a previous email you say you have read. You, and indeed anybody else who wants some other document, should please explain what they want, because it is not clear to me. As FAQ maintainer, I have a strong bias against providing _two_ documents and against replicating suggestions already given. It will be not obvious to new members, but we have had a FAQ for most of Statalist's 14-year-old history and have tried various ways of distributing it. I may seem conservative on this point but I am clear that the present method of a FAQ on a website is the best way to make information on Statalist publicly and permanently accessible. Of course, that in no way inhibits or prohibits anybody else from writing what they want, from posting it to the list or putting it anywhere on the web. That would be their personal view, but perhaps illuminating or informative to others. Second, the t-test you use is, like the bootstrap, predicated on independence of observations. Thus any P-values and c.i.s you get will be way off if your data show serial correlation. As you have time series, that would very likely be the case. There is scope for approximate correction, but the -ttest- command you use does not in any way take account of any time series structure in the data. This is well explained in (e.g.) Box, G.E.P., Hunter, J.S., Hunter, W.G. 2005. Statistics for experimenters. Hoboken, NJ: John Wiley. The first edition would also be suitable. This book is also a good one for basic statistics in general. Third, you, or your local systems person, should -update- from Stata 9 to 9.2. It's free. Nick n.j.cox@durham.ac.uk Mahmoud Abd-El-Aal [...] I do definitely support a section about guidelines/rules about using stata, then it would be much easier to know what is considered appropriate behaviour [...] I am using stata version 9 in order to compare two variables means (how many of the means of the bootstraped samples are larger than the original series sample) i had the following commands in my mind: gen mean diff= var2-var1 ttest diff==0 One-sample t test Variable Obs Mean Std. Err. Std. Dev. [95% Conf. Interval] diff 3516 .0006044 .0000962 .0057026 .0004158 .0007929 mean = mean(diff) t = 6.2842 Ho: mean = 0 degrees of freedom = 3515 Ha: mean < 0 Ha: mean != 0 Ha: mean > 0 Pr(T < t) = 1.0000 Pr(T > t) = 0.0000 Pr(T > t) = 0.0000 as i am new stata just see if this interpretation is correct, so we reject the null hypothesis of mean(diff) is 0 so its either bigger or smaller , but from what i see the mean fall with the 95% CI right? another thing looking at the Ha: mean<0, does that mean that var2(mean)<var1(mean), [...] * * 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/

**References**:**Re:Re: st: RE: RE: Bootstrap and Technical analysis***From:*Mahmoud Abd-El-Aal <ma7205@bristol.ac.uk>

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