Statalist


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

Re: st: RE: AW: ksmirnov


From   tzygmund mcfarlane <tzygmund@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: AW: ksmirnov
Date   Mon, 28 Sep 2009 15:17:48 +0100

On a related note kdens by Ben Jann does not seem to support
non-integer degrees of freedom in its student() option...

On Mon, Sep 28, 2009 at 3:07 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote:
> Also, look carefully at a graph. There doesn't seem to be a -qt- but
> -qnorm- is much better than nothing. You should expect to see symmetric
> and systematic deviation from normal (Gaussian) expectation.
>
> Nick
> n.j.cox@durham.ac.uk
>
> Martin Weiss
>
> 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)
> *************
>
> Tzygmund mcfarlane
>
> 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)
>
>
> *
> *   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