Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, is already up and running.

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

Re: st: excess risk

From   Robert A Yaffee <>
Subject   Re: st: excess risk
Date   Tue, 29 Jun 2010 21:30:47 -0400

  Perhaps you should consider quantile regression or quantile autoregression
as conditional value at risk, the quantile below which the distribution of losses , would constitute such risk, following the Engle Manganelli article on the subject.   Identify the quantile below which there would 
be excess value- at-risk (VaR).  If you can forecast that, you would be estimating predicting expected shortfall also.
  Alternatively,  you could you convert this quantile to a probability and then use that is the cutpoint between the excess and non-excess value at risk in an xtmelogit model.

Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University



----- Original Message -----
From: "Hardy, Dale S" <>
Date: Tuesday, June 29, 2010 1:03 pm
Subject: st: excess risk
To: "" <>

> Hi Statalist,
> Does anyone know how to do 'excess risk' using an xtmelogit model?
> Dale Hardy, PhD RD LD CDE CHES
> Research Associate
> UT School of Public Health
> 1200 Herman Pressler Dr., Rm 645
> Houston, Tx 77030
> Phone: (713) 500-9957
> Fax: (713) 500-9264
> Email:
> *
> *   For searches and help try:
> *
> *
> *
*   For searches and help try:

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