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From |
"Lachenbruch, Peter" <[email protected]> |

To |
<[email protected]> |

Subject |
RE: Re: st: RE: RE: Bootstrap and Technical analysis |

Date |
Mon, 18 Aug 2008 10:06:33 -0700 |

```
You are assuming the data are paired. Is this correct? If so, the
command should work.
A little thought shows that the observed mean must fall within the
confidence interval. What you want is to see if 0 falls within the ci.
Tony
Peter A. Lachenbruch
Department of Public Health
Oregon State University
Corvallis, OR 97330
Phone: 541-737-3832
FAX: 541-737-4001
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Mahmoud
Abd-El-Aal
Sent: Monday, August 18, 2008 9:04 AM
To: [email protected]
Subject: Re:Re: st: RE: RE: Bootstrap and Technical analysis
It seems that my email explaining my actions did not appeal to some and
made sense to others. Just a comment about what clive said mentioned and
the reply he got from chris about it, i do definitely support a section
about guidelines/rules about using stata, then it would be much easier
to
know what is considered appropriate behaviour and to be more honest i
can
not believe that the only 2 words that was mentioned in my original post
(stuck & help) could be considered as emotional blackmail :)
Not to take anymore of the precious times of everyone i would like to
close the page and move on to more important topics such as stata and
again its optional if anybody wants to answer or not.
I am using stata version 9
in order to compare two variables means (how many of the means of the
bootstraped samples are larger than the original series sample) i had
the
following commands in my mind:
gen mean diff= var2-var1
ttest diff==0
One-sample t test
Variable Obs Mean Std. Err. Std. Dev. [95% Conf.
Interval]
diff 3516 .0006044 .0000962 .0057026 .0004158
.0007929
mean = mean(diff) t = 6.2842
Ho: mean = 0 degrees of freedom = 3515
Ha: mean < 0 Ha: mean != 0 Ha: mean > 0
Pr(T < t) = 1.0000 Pr(T > t) = 0.0000 Pr(T > t) = 0.0000
as i am new stata just see if this interpretation is correct, so we
reject
the null hypothesis of mean(diff) is 0 so its either bigger or smaller ,
but from what i see the mean fall with the 95% CI right? another thing
looking at the Ha: mean<0, does that mean that var2(mean)<var1(mean),
again this might be a very easy question to some, but a comment about
the
interpretation is needed
To carry on to the bootstrap:
drop if diff==.
bs "ttest diff=0" "r(mu_1)", rep (1000)
my results are as follows
bs "ttest diff=0" "r(mu_1)", rep (1000)
command: ttest diff=0
statistic: _bs_1 = r(mu_1)
Warning: Since ttest is not an estimation command or does not set
e(sample), bootstrap has no
way to determine which observations are used in calculating the
statistics
and so
assumes that all observations are used. This means no observations will
be excluded
from the resampling due to missing values or other reasons.
If the assumption is not true, press Break, save the data, and drop the
observations
that are to be excluded. Be sure that the dataset in memory contains
only
the
relevant data.
Bootstrap statistics Number of obs =
6266
Replications = 1000
Variable Reps Observed Bias Std. Err. [95% Conf. Interval]
_bs_1 1000 .0006044 1.16e-06 .0000963 .0004155 .0007933 (N)
.0004207 .0008018 (P)
.0004239 .0008027 (BC)
so again here i can see that the mean falls within the 95%CI, so does
that
mean after bootstrapping is not=0, so the question is, is it bigger or
smaller. I am trying to get around this problem in some way so maybe the
commands used a bit ridiculous or better yet can be implemented in
another
way. I also want to compare the std.err. of the bootstraped var2 with
the
original var1. so should i use the same idea and if so , what would be
the
interpretation.
Sorry for the long email, i am des........(oops was going to do the same
old mistake again:)
thank you for reading
regards,
Mahmoud
--
Mahmoud Abd El Aal
MSc. F&I
UOB
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```

**References**:**Re:Re: st: RE: RE: Bootstrap and Technical analysis***From:*Mahmoud Abd-El-Aal <[email protected]>

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