Re: st: Generalized Sign Test

[Steven Samuels <sjhsamuels@earthlink.net>]

-
I should add that "sign test" and "generalized sign test" are not  
proper terms for what Mai wants to do. Mai wants to test the  
hypothesis in binomial data that the true proportion P = P0, a  
specified value, against H1: P ≠ P0. As I stated, Stata's -bitest- is  
designed to do this. I should have added that -ci- will provide a  
confidence interval for the proportion, which would be a useful  
complement to a p-value.

The sign test is a test for location with continuous, not  
categorical, data;  it happens to use the binomial hypothesis test  
for inference.  For example, the sign test may be used to test that  
the median of a distribution is equal to a certain value.  It counts  
the number of observations which exceed the hypothesized median and  
ignores ties; thus, in contrast to Mai's problem, the test sample  
size may be less than the number of observations.  The sign test can  
also test the equality of distributions for paired (X,Y) data, by  
testing the hypothesis that P(X>Y) = 1/2; form Z = X - Y and count  
the number of times Z exceeds 0.  This version also ignores ties.   
The sign test is relatively simple to do because of the connection to  
the binomial distribution. However the same hypotheses can be tested  
more powerfully with Wilcoxon's signed rank sum test.  See: P.  
Armitage:  Statistical Methods in Medical Research, Wiley, 1971, pp  
395-397.

Different questions: What are Mai's data and how is a null value to  
be "calculated from the estimation period"?

-Steve



The sign test is a nonparametric test applied to continuous data
-bitest-

On Oct 7, 2008, at 3:15 PM, mai7777 wrote:

> Hi,
> Is there a way in Stata to perform a generalized sign test which
> allows the null hypothesis to be different from 0.5. I am using it for
> an event study and I would like the null to be calculated from the
> estimation period rather than a standard 0.5.
> Thanks
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