Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: AW: ksmirnov


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: ksmirnov
Date   Mon, 28 Sep 2009 15:46:02 +0200

<> 

As Maarten said back in the day
(http://www.stata.com/meeting/snasug08/buis_MLBsimulate.zip), you have to
-simulate- these things to make up your own mind whether you are on the
right path:



*************
//drop it beforehand
capt prog drop sim

//define the program
program define sim 
    version 11
    syntax [, df(integer 5) obs(real 10000)]
    drop _all
    set obs `obs'
    tempvar z
    gen `z' = rt(`df')
    ksmirnov `z' = 1-ttail(`df',`z')
end

//simulate it!
simulate pcor=r(p_cor), /* 
 */ reps(1000): sim 

//result?
qui cou if pcor<0.05
di in red "Rejections: `r(N)', " /* 
*/ "for a rate of: " r(N)/c(N)
*************



HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von tzygmund
mcfarlane
Gesendet: Montag, 28. September 2009 13:47
An: statalist@hsphsun2.harvard.edu
Betreff: st: ksmirnov

I am trying to test if a series is t-distributed with (say) 6 degrees
of freedom using a Kolmogorov-Smirnov test. Is this the right way to
do it?

webuse wpi1
g returns = D.ln_wpi
ksmirnov returns = 1-ttail(6, returns)

thanks.
*
*   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/


*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index