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From |
"Eva Poen" <eva.poen@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Wed, 20 Aug 2008 15:59:31 +0100 |

Mahmoud, what you say doesn't make a lot of sense to me. This may be due to my lacking background in time series data and bootstrap techniques; others may be better qualified to comment. However, some list members have strongly discouraged you from applying this kind of procedures to paired time series data. Your approach does not seem to be particularly well thought through, so maybe you want to go over some statistics texts before asking for more advice from the list. Please also consult the online help files and the manuals for simple syntax questions. Bootstrap is a method for learning more about the distribution of an estimator in the situation where standard formulas don't apply. The resulting bootstrap sample is used to compute a standard error, for example. Its individual observations are not meant to be used as data in subsequent procedures, as far as I know. 2008/8/20 Mahmoud Abd-El-Aal <ma7205@bristol.ac.uk>: > I use reg var1 var2 to get the residuals which are saved in e(rss) This is not correct. e(rss) is a scalar and contains the residuals sum of squares. I am not sure how this information will help you in what you want to do. > I need to save this matrix into a variable (var4), i do not know how to do > that As I mentioned, e(rss) is a scalar not a matrix, and it is unnecessary to save it as a variable. If you want to retain the residuals from a regression, you can do so using -predict-; see -help predict-. > 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 This is not legal Stata syntax. See -help bsample-, or even better the manual entry, to learn more about the bsample command. > This will produce a new set of returns , then all i want to do is > bootstrap these returns to see their meeans Again, why you would want to take random samples with replacement from your data, then do some bootstrap on these to investigate means is beyond me. I am sorry but I don't think I can comment any further on your problem. Best regards, Eva * * 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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