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Re: st: How to calculate kurtosis on left tail and right tail separately?


From   李 梦佳 <limengjia626@163.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to calculate kurtosis on left tail and right tail separately?
Date   Mon, 15 Apr 2013 10:40:19 +0800

Dear David,

Thank you very much for the advice. I spent some time understanding the terms and interpreting the normality probability plot graph and also tried the "distribution dot plot" which seems more familiar to me. And these are really more direct to observe the skewness and kurtosis on different tails. So thank you again!

With regard to the "quantile-quantile plot", I'm confused that what shall be put as the "Quantiles variable 1" and "Quantiles variable 2", since my dataset looks like the following. There are 299 Funds and year lasts from 2005 to 2010 on semi-annual base. How to understand the "pairs" you mentioned in the previous response?

Fund	     | Year		Week	Return	female
-----------------+--------------------------------------------------------
000011.OF	200506	Week1   -.01595214	 0 
……..
000011.OF	200506    Week26 -.02965235        0
000011.OF 	200512 	Week1   -.01595214	 0
……….
000011.OF	201012	Week26 .00202634         0
000021.OF	200506	Week1   .03485255	 1
…………
690003.OF	201012	Week26	.02142162	 0

Thank you for your time and precious advice,

Mengjia

在 2013-4-14,下午8:39,David Hoaglin <dchoaglin@gmail.com> 写道:

> Dear Mengjia,
> 
> Moment-based measures such as kurtosis are sensitive to outliers, so
> approaches based on quantiles may be a better choice, especially if
> you are interested in "great gain and great loss."
> 
> You did not mention the numbers of funds and years, but I suggest that
> you start with a "normal probability plot" of the data for one year of
> one fund.  Unless you have a good reason not to do so, you could
> include multiple years for a given fund in a single plot.  I would
> expect the plot to show heavier tails, but it will allow you to look
> at the behavior of the two tails separately.
> 
> Since you have the same number of observations for each combination of
> fund and year, it would be easy also to make empirical
> quantile-quantile plots for pairs of years in the same fund or pairs
> of funds in the same year (and aggregate versions of these).  For a
> pair of years, for example, this amounts to sorting the weekly returns
> for each year separately and plotting the pairs of ordered values:
> (min1, min2), ..., (max1, max2).
> 
> Various more-quantitative analyses based on quantiles are possible.
> 
> David Hoaglin
> 
> On Sun, Apr 14, 2013 at 1:22 AM, 李 梦佳 <limengjia626@163.com> wrote:
>> Dear statalist,
>> 
>> I wish to test the kurtosis difference between female- and male-managed funds return to examine the possibility of great gain and great loss separately. The current code leads me to an overall kurtosis value on both tails. Is there any way to calculate the kurtosis value on each tail?
>> 
>> My current code:
>> bys Fund Year, egen kurt = kurt (Return)
>> 
>> For each fund at each year, 52 weekly returns are provided.
>> 
>> Thanks and regards,
>> Mengjia
> 
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