Statalist


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

RE: st: AW: ksmirnov


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: AW: ksmirnov
Date   Tue, 29 Sep 2009 19:18:25 +0100

I don't know why I said that because it isn't true. In fact, I was
overlooking my own work... 

In terms of the original example, 

webuse wpi1
g returns = D.ln_wpi

and given a download of -qplot- from the Stata Journal site, you can go 

qplot returns, trscale(invttail(6, 1 - @)) xli(0) yli(0) 

Alternatively, you can do it from first principles 

count if !missing(returns) 
local N = r(N) 
sort returns 
gen quantilet = invttail(6, 1 - (_n - 0.5) / `N') 
scatter returns quantilet , xli(0) yli(0) 

For (_n - 0.5) / `N', substitute any other plotting position formula.
For "6" substitute any other desired df. 

In this example, the fit is lousy: the mean is a long way from zero and
the distribution is not even symmetric. 

See also for a meant-to-be-encouraging note 

SJ-7-2  gr0027  . .  Stata tip 47: Quantile-quantile plots without
programming
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  N.
J. Cox
        Q2/07   SJ 7(2):275--279                                 (no
commands)
        tip on producing various quantile-quantile (Q-Q) plots

That and 75 other tips have just been reprinted in 

Seventy-six Stata Tips, 2nd Edition 
Publisher: Stata Press 
Copyright: 2009 
ISBN-10: 1-59718-071-8 
ISBN-13: 978-1-59718-071-9 
Pages:  177; paperback 
Price:  $29.00 

<http://www.stata.com/bookstore/tips2.html>

Nick 
n.j.cox@durham.ac.uk 

Nick Cox
========

You'd need to clone one or more existing programs, e.g. -qnorm-, -pnorm-
and replace code there with code specific to the t-distribution. 

I am not familiar with the etiquette on fitting t-distributions. Isn't
the df in effect a parameter to be estimated? Otherwise, there would
need to be some justification for using a particular df. 

tzygmund mcfarlane
==================

Thanks for your replies Martin & Nick.

Martin: My question was actually simpler - was my procedure correct?

That is, should the data be standardised by an estimate of the scale
before using the Kolmogorov-Smirnov procedure or is that not
necessary?

Also, from the help file for chi2fit by Stas Kolenikov I could not
figure out how to implement it for a t-distribution. Any help will be
appreciated.

Nick: I am particularly interested in deviation from a t-distribution.
My data is almost certainly non-normal. I agree about the merits of
plotting it, but am not aware of any tools for my particular case. Any
ideas?


*
*   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