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Re: st: Problem with decile significance test


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Problem with decile significance test
Date   Mon, 11 Mar 2013 20:05:29 +0000

Thanks for the extra detail.

Same comment: such observations are necessarily disjoint, so you can't
use -ttest varname1 = varname2-.

You will have various possibilities, but only

variable 1                     variable 2

non-missing                missing
missing                       non-missing
missing                       missing

so there is nothing for -ttest- to work on.

You must arrange your code to use -ttest varname, by(groupvar)-.

By the way,

1. 120 periods and 5 response variables: you will have to take account
of multiplicity _and_ dependence in time in thinking about the pattern
of 600 t-tests.

2.

foreach x of numlist 2/120 {
         replace d_X1=ceil(_n*10/_N) if Period==`x'
}

looks unlikely to be what you want. _n and _N are here calculated with
reference to the entire dataset.


Nick

On Mon, Mar 11, 2013 at 7:53 PM, Xixi Lin <winnielxx@gmail.com> wrote:
> Hi Nick,
>
> What I am trying to do is to create deciles for dependent variable
> according to independent variables (or sorted by independent
> variables), that is how the d_`x' are created. For example, d_X1 is
> the decile for dependent variable( Return) sorted by X1.
>
> Then, I want to test for each decile, whether decile=1 is larger than decile=10.
>
> Best,
> Xixi Lin
>
> On Mon, Mar 11, 2013 at 3:42 PM, Nick Cox <njcoxstata@gmail.com> wrote:
>> I don't know exactly what you are trying to do here, but the nub of
>> the matter may be that
>>
>> observations for which -Return1- is calculated, namely
>>
>> if d_`x'==1 & Period==`z'
>>
>> and for which -Return2- is calculate, namely
>>
>> if d_`x'==10 & Period==`z'
>>
>> must be separate observations because it can't be true that something
>> is both 1 and 10.
>>
>> Hence, as you report,
>>
>>             ttest Return1=Return2 if Period==`z'
>>
>> finds no observations.
>>
>> Nick
>>
>> On Mon, Mar 11, 2013 at 7:33 PM, Xixi Lin <winnielxx@gmail.com> wrote:
>>> Hi,
>>>
>>> I am trying to do decile significance test, however my codes does not
>>> work, can anyone help me to debug it?
>>>
>>> Here is my code:
>>> //create deciles according to independent variables
>>> sort X1
>>> by X1: gen d_X1=ceil(_n*10/_N)
>>>
>>> foreach x of numlist 2/120 {
>>>         replace d_X1=ceil(_n*10/_N) if Period==`x'
>>> }
>>> *****repeat the above code for each  independent variable
>>>
>>> //t statistics
>>> foreach x in X1 X2 X3 X4 X5 {
>>>        gen Return1_`x'=.
>>>            gen Return2_`x'=.
>>> foreach z of numlist 2/120 {
>>>        replace Return1_`x'=Return if d_`x'==1 & Period==`z'
>>>            replace Return2_`x'=Return if d_`x'==10 & Period==`z'
>>>            ttest Return1=Return2 if Period==`z'
>>>            display "`x'" "Period " "`z'" `r(p)'
>>>       }
>>>    }
>>>  ****it would be better if I can display p value for T>t not
>>> |T|>|t|******Anyone knows how to display that?
>>>
>>> The stata shows that "no observations". Does anyone know what is wrong
>>> with my code?
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