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From |
Maarten Buis <maartenlbuis@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 16:03:55 +0100 |

To answer that you first need to define what "best" is. This will crucially depend on how you want to use those variables and it will involve some sort of trade-off and this trade-off will be such that it has to be made by humans. So if you are looking for an automatic (or automagic) solution than we'll have dissappoint you: no such sollution can exist. Instead you should just inspect your data, and see if there are some obvious annomalies, than fit your model of choice, and see if it fits. If it does not fit, fix it. This "fixing" may or may not require any transformations. Especially, for the dependent/explained/left-hand-side/y variable you will want to consider using a link function (see: -help glm-) instead of a transformation. -- Maarten On Fri, Feb 22, 2013 at 3:44 PM, Xixi Lin wrote: > Hi, > > 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? > > Thanks for any help! > > Best, > Xixi Lin > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ -- --------------------------------- Maarten L. Buis WZB Reichpietschufer 50 10785 Berlin Germany http://www.maartenbuis.nl --------------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: How to find the best transformation for each variable in 120 periods***From:*Xixi Lin <winnielxx@gmail.com>

**References**:**st: How to find the best transformation for each variable in 120 periods***From:*Xixi Lin <winnielxx@gmail.com>

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