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From |
Mahmoud Abd-El-Aal <ma7205@bristol.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Wed, 20 Aug 2008 15:21:56 +0100 (BST) |

Hey I need to do the following , i have variable 1 (log returns ) ,var2 (lag 1 of log returns) and var3 ( returns based on moving average rules, can be thought of as returns starting at point 50 of the data) I use reg var1 var2 to get the residuals which are saved in e(rss) I need to save this matrix into a variable (var4), i do not know how to do that and this is the most important step for me i think The following steps for the problem i mentioned just in the previous thread i think i can solve them throught the following -bsample _N, var4 ( i don t know if the command is correct, any modification is welcome) - I take the cooeficients of the AR 1 model from the previous regress to fit into the new AR1 model: gen var5= scalar (a) + b* lag1 var3+ the bssample results i get from above (again command is welcome as i am not sure how to do this in stata) This will produce a new set of returns , then all i want to do is bootstrap these returns to see their meeans which can be carried out using: bootstrap (location: mean=r(mean)), rep(1000) saving(k:\bs.dta): sum var5 This is just a thought i have, any comments ? Regards -- 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/

**Follow-Ups**:**Re: Re: st: RE: RE: Bootstrap and Technical analysis***From:*"Eva Poen" <eva.poen@gmail.com>

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