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


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


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