Dear Statalisters,
I wanna check the power of normality tests and to this end I have written a
program that does exactly that. It worked fine until I added an option to
provide a desired sig. level to the program. Stata complains about the
syntax, and I cannot figure out why. Any ideas why that might be? I want to
make both varlist and sig optional so I put them in square brackets. Here is
the program (with useful commands around it):
*********
capt pr drop normality
pr de normality, rclass
version 10
syntax [varlist(max=1 numeric default=none), sig(0.95)]
* set trace on
tokenize `varlist'
if "`1'" !=""{
qui{
noi di _newline
noi di in red "Var supplied"
sktest `1',
level(`sig')
* set trace off
ret sca psk =
r(P_chi2)
sfrancia `1',
level(`sig')
ret sca psf = r(p)
swilk `1',
level(`sig')
ret sca psw = r(p)
*end quietly
}
*end if
}
else{
qui{
noi di _newline
noi di in red "No
var supplied, generating 1.000 standard normal random deviates"
drop _all
tempvar h
set obs 1000
g `h'=invnormal(uniform())
sktest `h', level(`sig')
* set trace off
ret sca psk = r(P_chi2)
sfrancia `h', level(`sig')
ret sca psf = r(p)
swilk `h', level(`sig')
ret sca psw = r(p)
* qui end
}
*else end
}
end
simulate psk=r(psk) psf=r(psf) psw=r(psw), reps(200): normality, sig(0.99)
qui{
count if psk<`=1-`sig''
noi di in red "Skewness/Kurtosis Test:" _skip(2) r(N) " out of " _N
", which works out as fraction " `=r(N)/_N' "with sig. level at " `sig'
_newline
count if psf<`=1-`sig''
noi di in red "Sfrancia Test:" _skip(2) r(N) " out of " _N ", which
works out as fraction " `=r(N)/_N' _newline
count if psw<0.05`=1-`sig''
noi di in red "Swilk Test:" _skip(2) r(N) " out of " _N ", which
works out as fraction " `=r(N)/_N' _newline
}
*********
Martin Weiss
_________________________________________________________________
Diplom-Kaufmann Martin Weiss
Mohlstrasse 36
Room 415
72074 Tuebingen
Germany
Fon: 0049-7071-2978184
Home: http://www.wiwi.uni-tuebingen.de/cms/index.php?id=1130
Publications: http://www.wiwi.uni-tuebingen.de/cms/index.php?id=1131
SSRN: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=669945
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
