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Re: st: Problem with decile significance test
From
Jeph Herrin <[email protected]>
To
[email protected]
Subject
Re: st: Problem with decile significance test
Date
Mon, 11 Mar 2013 22:12:01 -0400
I don't understand what the variable -decile- is, in the statement:
"Then, I want to test for each decile, whether decile=1 is larger than decile=10."
but I suppose you want something like this:
*********************************************
foreach X in x1 x2 x3 {
xtile d_`X'=`X', nq(10)
qui ttest Return if inlist(d_`X',1,10) , by(d_`X')
di "`X'" _col(20) `r(p_u)' // note r(p_u) is the upper test P-value
}
**********************************************
hth,
Jeph
On 3/11/2013 4:05 PM, Nick Cox wrote:
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 <[email protected]> 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 <[email protected]> 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 <[email protected]> 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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