Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Nick Cox <njcoxstata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: normality test using the over identifying moment conditions |

Date |
Thu, 31 Jan 2013 12:30:44 +0000 |

There is no mention here of what command you are using. With this kind of data the number of values is usually so large that any test will produce results significant at conventional levels, i.e. normality will be rejected even for trivial deviations from normality. A search of the archives will show many posts explaining why tests of normality are usually a bad idea. Nick On Thu, Jan 31, 2013 at 12:21 PM, Usman Gilani <u.gilani@icloud.com> wrote: > Hi, > I'm trying to interpret the following results, with respect to "normality > test using the over identifying moment conditions" > > where returns have normal distribution > with parameter mu,sd > and i have 4 moment conditions > >>E[r-mu/sd]=0 > >>E[(r-mu)^2/sd-1]=0 > >>E[(r-mu)^3/sd^3]=0 > >>E[(r-mu)^4/sd^4-3]=0 > > output.. > gel(g = g, x = returns, tet0 = c(f3$estimate[1], f3$estimate[2])) > > Type of GEL: EL > > Coefficients: > Estimate Std. Error t value Pr(>|t|) > mean -0.01168 0.05614 -0.20805 0.83519 > sd 1.77591 0.03965 44.79218 0.00000 > > Lambdas: > Estimate Std. Error t value Pr(>|t|) > Lambda[1] -0.09743 0.03912 -2.49028 0.01276 > Lambda[2] 0.65728 0.02443 26.90505 0.00000 > Lambda[3] 0.03247 0.01304 2.48961 0.01279 > Lambda[4] -0.10954 0.00407 -26.90423 0.00000 > > Over-identifying restrictions tests: degrees of freedom is 2 > statistics p-value > LR test 2.3341e+02 2.0730e-51 > LM test 7.2417e+02 5.5954e-158 > J test 7.2417e+02 5.5954e-158 > > Convergence code for the coefficients: 0 > > Convergence code for the lambdas: 0 > > > does the J-test p-value rejecting the null E[g(theta,x)]=0, and which moment > condition is true under normality > * * 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: normality test using the over identifying moment conditions***From:*Usman Gilani <u.gilani@icloud.com>

**References**:**st: normality test using the over identifying moment conditions***From:*Usman Gilani <u.gilani@icloud.com>

- Prev by Date:
**RE: st: Wishlist for Stata 13** - Next by Date:
**Re: st: Unique Randomization within groups** - Previous by thread:
**st: normality test using the over identifying moment conditions** - Next by thread:
**Re: st: normality test using the over identifying moment conditions** - Index(es):