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Re: Re: st: plot confidence intervals with time series
From
annoporci <[email protected]>
To
[email protected]
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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