Re: Re: st: plot confidence intervals with time series

[Christopher Baum <kit.baum@bc.edu>]

<>
On Dec 23, 2012, at 2:33 AM,Patrick wrote:

> 
> ... though having to add ,xlab(,format(%td)) kills the simplicity of the  
> lfitci approach, so I think I'll stay with my second attempt, where I can  
> also control the significance level.
> 
> 
> The data has high kurtosis so I'm thinking of using something other than  
> the t-distribution for the confidence intervals, does that make sense? I'm  
> thinking of replacing invttail with some other inverse tail, does it make  
> any sense?

Well, help tw lfitci reveals that there is a level() option, so that is not an issue.

It is not obvious to me that kurtosis in the data carries over to the distribution of the beta-hats in your regression model,
which are after all asy normal, The finite-sample CI uses the t distribution, which assumes symmetry, but allows for greater kurtosis
than would z-scores.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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