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From |
Xixi Lin <winnielxx@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Problem with decile significance test |

Date |
Mon, 11 Mar 2013 22:37:01 -0400 |

Hi Jeph, Thanks for the code. You are right that I wanna test whether the top10% of Return is larger than bottom 10% of Return, sorted by independent variables. About the code, I have a question, is that only for equal variance samples? I tried your code for a test, and here is the result: . ttest Return if inlist(d_MB,1,10) & Period==120, by(d_MB) Two-sample t test with equal variances ------------------------------------------------------------------------------ Group | Obs Mean Std. Err. Std. Dev. [95% Conf. Interval] ---------+-------------------------------------------------------------------- 1 | 136 -2.969485 1.284269 14.97703 -5.509375 -.4295957 10 | 135 -.6448148 .8480893 9.853907 -2.322188 1.032558 ---------+-------------------------------------------------------------------- combined | 271 -1.811439 .7724542 12.7162 -3.332238 -.2906398 ---------+-------------------------------------------------------------------- diff | -2.32467 1.541284 -5.359185 .7098441 ------------------------------------------------------------------------------ diff = mean(1) - mean(10) t = -1.5083 Ho: diff = 0 degrees of freedom = 269 Ha: diff < 0 Ha: diff != 0 Ha: diff > 0 Pr(T < t) = 0.0663 Pr(|T| > |t|) = 0.1327 Pr(T > t) = 0.9337 I am not very familiar with it,but the variance of the two samples are not the same while it says "Two-sample t test with equal variances". Am I using the right code? Best, Xixi Lin On Mon, Mar 11, 2013 at 10:12 PM, Jeph Herrin <stata@spandrel.net> wrote: > 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 <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? >> >> * >> * 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/ * * 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: Problem with decile significance test***From:*Maarten Buis <maartenlbuis@gmail.com>

**References**:**st: Problem with decile significance test***From:*Xixi Lin <winnielxx@gmail.com>

**Re: st: Problem with decile significance test***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: Problem with decile significance test***From:*Xixi Lin <winnielxx@gmail.com>

**Re: st: Problem with decile significance test***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: Problem with decile significance test***From:*Jeph Herrin <stata@spandrel.net>

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