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


From   "Eva Poen" <eva.poen@gmail.com>
To   Statalist <statalist@hsphsun2.harvard.edu>
Subject   Re: Re: st: RE: RE: Bootstrap and Technical analysis
Date   Tue, 19 Aug 2008 18:49:57 +0100

2008/8/19 Nick Cox <n.j.cox@durham.ac.uk>:
> So, as far as I can see what you are doing is in principle wrong.

I perfectly agree with Nick. What Mahmoud attempts to do appears
highly problematic, and I personally wouldn't trust any of the
inference. It also appears that he doesn't understand the -bootstrap-
command very well, which I hope to have addressed in my previous
email.

If Mahmoud wants to follow the example he found in a paper, he should
make sure that he perfectly understands what the authors have done. It
seems odd that they applied the standard bootstrap to time series
data, and not some form of a block bootstrap, for a start.

Eva
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