
I should add that "sign test" and "generalized sign test" are not
proper terms for what Mai wants to do. Mai wants to test the
hypothesis in binomial data that the true proportion P = P0, a
specified value, against H1: P ≠ P0. As I stated, Stata's bitest is
designed to do this. I should have added that ci will provide a
confidence interval for the proportion, which would be a useful
complement to a pvalue.
The sign test is a test for location with continuous, not
categorical, data; it happens to use the binomial hypothesis test
for inference. For example, the sign test may be used to test that
the median of a distribution is equal to a certain value. It counts
the number of observations which exceed the hypothesized median and
ignores ties; thus, in contrast to Mai's problem, the test sample
size may be less than the number of observations. The sign test can
also test the equality of distributions for paired (X,Y) data, by
testing the hypothesis that P(X>Y) = 1/2; form Z = X  Y and count
the number of times Z exceeds 0. This version also ignores ties.
The sign test is relatively simple to do because of the connection to
the binomial distribution. However the same hypotheses can be tested
more powerfully with Wilcoxon's signed rank sum test. See: P.
Armitage: Statistical Methods in Medical Research, Wiley, 1971, pp
395397.
Different questions: What are Mai's data and how is a null value to
be "calculated from the estimation period"?
Steve
The sign test is a nonparametric test applied to continuous data
bitest
On Oct 7, 2008, at 3:15 PM, mai7777 wrote:
Hi,
Is there a way in Stata to perform a generalized sign test which
allows the null hypothesis to be different from 0.5. I am using it for
an event study and I would like the null to be calculated from the
estimation period rather than a standard 0.5.
Thanks
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