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Re: Re: st: plot confidence intervals with time series


From   annoporci <annoporci@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re: st: plot confidence intervals with time series
Date   Sun, 23 Dec 2012 21:56:04 +0800

Thanks Kit, your comment is very helpful!

It is not obvious to me that kurtosis in the data carries over to the distribution of the beta-hats in your regression model, which are after all asy normal, The finite-sample CI uses the t distribution, which assumes symmetry, but allows for greater kurtosis
than would z-scores.

Kit

--
Patrick Toche.
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