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Re: st: How to find the best transformation for each variable in 120 periods


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to find the best transformation for each variable in 120 periods
Date   Fri, 22 Feb 2013 15:04:19 +0000

Your sample results pose a deeper problem than your question.

Your variable is called -Return- and, at a wild guess, it is a return
calculated from time series. I am aware of various related
definitions, but if it is true that your flavour of returns may be
zero and may be negative, in that case the most commonly used
statistically transformations, including logarithmic and square root,
are at worst not even defined and best not useful.

Putting it another way, why did -ladder- yield a pattern of missing
values over most of the display you cite?

Independently of that,

1. To find out how to write loops, search for -foreach- and -forval-
documentation using -search-.

2. 120 models for 120 periods with possibly different scales for the
response [I guess you don't actually mean "each variable"] does not
sound a good idea.

Nick

On Fri, Feb 22, 2013 at 2:44 PM, Xixi Lin <winnielxx@gmail.com> wrote:

> I am trying to find the best transformation for each variable in 120
> periods. I know that command ladder gives the following result:
> Transformation          formula         chi2(2)         P(chi2)
> cubic                           Return^3                .               .
> square                   Return^2               .               0.000
> identity                         Return         64.81           0.000
> square root             sqrt(Return)            .               .
> log                              log(Return)            .               .
> 1/(square root)         1/sqrt(Return)          .               .
> inverse                  1/Return               .               .
> 1/square                        1/(Return^2)            .               .
> 1/cubic                 1/(Return^3)            .               .
>         .
>  How can I write a loop to find the best transformation fit for each
> variable in 120 periods if available?
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