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From |
Xixi Lin <winnielxx@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 10:29:11 -0500 |

Hi Maarten, The reason why I wanna transform the variables is that after dropping missing values and outliers, the residuals are not normal and I want to use T statistics which requires residuals to be normal if I am not remembering wrong. I will research on the link function you mentioned. Thanks a lot. Best, Xixi Lin On Fri, Feb 22, 2013 at 10:03 AM, Maarten Buis <maartenlbuis@gmail.com> wrote: > 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/ * * 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/

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

**Re: st: How to find the best transformation for each variable in 120 periods***From:*Maarten Buis <maartenlbuis@gmail.com>

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