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From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Re: distribution test |

Date |
Thu, 1 Sep 2011 10:32:55 +0200 |

On Wed, Aug 31, 2011 at 6:46 PM, Smets Lodewijk wrote: > I'm not planning to use the variable - the total number of World > Bank policy loans - as a dependent variable in a survival analysis, > but rather as a regressor in a fixed effects panel regression. I'd > like to test for its univariate distribution as to get an idea whether > extreme observations are really "extreme". That is, if a ksmirnov > test indicates that observations for that variable seem to be > drawn from an exponential distribution, this could provide > justification of not dropping "extreme" observations from the > sample. I do not think that a Kolmogorov-Smirnov test is appropriate for this purpose, as it tends to be particularly sensitive to deviations at the center of the distribution while you care about what is happening at the tails. You may have noticed that this discussion continued on the statalist. The most appropriate suggestion in that thread is to look at the QQ-plot together with a porfolio of scenarios assuming that the data comes from a exponential distribution with the estimated parameter as discussed here: <http://www.stata.com/statalist/archive/2011-08/msg01412.html>. The QQ-plot focuses on the tail of the distribution, it shows individual observations, and the comparison with the scenarios helps you determine whether or not the deviations are too extreme or not. > In the meantime I found another way of getting a value for > lamda. I've used the - dpplot - command which reports the > mean (and consequently the lambda). I have nothing against -dpplot-, but that is as much overkill as using -hangroot- to get the mean. The way to obtain the mean of a variable in Stata is to use -sum- and look at r(mean). You can see which results are left behind after a command by typing -return list- (and -ereturn list- after estimation commands). Hope this helps, Maarten -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * 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/

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