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Re: st: nonparametric test


From   Roger Newson <r.newson@imperial.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: nonparametric test
Date   Thu, 29 Sep 2011 10:58:09 +0100

I have had a very quick look at the Jiang paper, and Equation (2) there looks like a special case of a Somers' D. This suggests (at least to me) that you might possibly want to check out the -somersd- package, downloadable from SSC, which estimates a wide range of rank statistics with confidence intervals as well as P-values, and allows adjustment for clustering and sampling probability weights. The -somersd- package comes with a set of .pdf manuals which you can download as ancillary files from SSC at the same time as installing -somersd-.

On the other hand, there are also references, in that paper, to U-statistics with kernel of order 3. The -somersd- package is based on U-statistics with kernels of order 2, so -somersd- doesn't implement U-statistics with kernel of order 3. I don't have the time to implement the Jiang method, but some of the same principles may apply to both kinds of rank statistics.

I hope this helps.

Best wishes

Roger


Roger B Newson BSc MSc DPhil
Lecturer in Medical Statistics
Respiratory Epidemiology and Public Health Group
National Heart and Lung Institute
Imperial College London
Royal Brompton Campus
Room 33, Emmanuel Kaye Building
1B Manresa Road
London SW3 6LR
UNITED KINGDOM
Tel: +44 (0)20 7352 8121 ext 3381
Fax: +44 (0)20 7351 8322
Email: r.newson@imperial.ac.uk
Web page: http://www.imperial.ac.uk/nhli/r.newson/
Departmental Web page:
http://www1.imperial.ac.uk/medicine/about/divisions/nhli/respiration/popgenetics/reph/

Opinions expressed are those of the author, not of the institution.

On 29/09/2011 08:15, Dawood Ashraf wrote:
I am trying to implement Jiang(2003) procedure to test the market timing ability of mutual funds. I am looking for any user written program or set of commands that can implement the procedure.  Jiang (2003) is freely available at: http://www.columbia.edu/~wj2006/market_timing.pdf
Regards

Dawood


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