Dear All,
thank you very much for your answers. I am performing the bootstrap regressions. Do you know which is the STATA command to perform non-parametric bootstrap regressions?
Thank you.
Emanuele
> From: [email protected]
> To: [email protected]
> CC: [email protected]
> Subject: R: st: RE: montecarlo simulations with actual distributions
> Date: Wed, 2 Jul 2008 14:16:26 +0200
>
>
> Dear Emanuele,
> following Martin'reply and Maarten's advice on performing bootstrap:
> -the number of replications may vary according what you are intended to
> check for (plase, see Efron B, Tibshirani RJ. An Introduction to the
> Bootstrap. Chapman and Hall: New York, 1993);
> - for instance, as far as the comparison of the mean of costs in health care
> programmes evaluation is concerned, the number of bootstrap replications
> vary between 1000 and (more often) 10,000. For confidence interval and
> regression coefficients the number is usually lower (again, please see the
> abovementioned reference).
>
> If you make up your mind to perform a bootstrap test on your original data
> set, another decision to be taken is what kind of bootstrap: parametric or
> non parametric? I would recommend the non parametric bootstrap, since it is
> teheoretically closer to the core mininig ot this procedure (ie no
> assumptions about the distribution from which the original sample has been
> drawn) and requires less computational effort. Usually, parametric and non
> parametric bootstrap tests give back similar results.
>
> HTH and Kind Regards,
>
> Carlo
>
> -----Messaggio originale-----
> Da: [email protected]
> [mailto:[email protected]] Per conto di emanuele
> canegrati
> Inviato: mercoled� 2 luglio 2008 13.51
> A: [email protected]
> Oggetto: RE: st: RE: montecarlo simulations with actual distributions
>
>
> Martin,
>
>
>
>
>
> thank you very much indeed. Is there any minimum number of simulations to
> have reliable results?
>
>
>
>
>
> Best
>
>
>
>
>
> Emanuele
>
>
>> From: [email protected]
>> To: [email protected]
>> Subject: st: RE: montecarlo simulations with actual distributions
>> Date: Wed, 2 Jul 2008 12:36:15 +0200
>>
>> - h simulate - is for you. Its example program syntax at the bottom gives
>> you the clearest possible advice as to the implementation of MC in Stata.
>>
>> 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
>>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of emanuele
>> canegrati
>> Sent: Wednesday, July 02, 2008 12:30 PM
>> To: [email protected]
>> Subject: st: montecarlo simulations with actual distributions
>>
>>
>> Dear Users,
>>
>>
>>
>>
>>
>> I have to perform some montecarlo simulations of market returns with
> STATA.
>> I would like to generate these returns from the original time series under
>> the condition they reflect the actual PDF and so I think I need to
> calculate
>> the mean and the standard deviations of returns. Which is the programme I
>> have to write? I have to perform any non-parametric analysis before in
> order
>> to calculate the actual distribution of my returns?
>>
>>
>>
>>
>>
>> Thank you in advance.
>>
>>
>>
>>
>>
>> Kind Regards,
>>
>>
>>
>>
>>
>> Emanuele Canegrati
>>
>> _________________________________________________________________
>> News, entertainment and everything you care about at Live.com. Get it now!
>> http://www.live.com/getstarted.aspx
>> *
>> * 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/
>>
>> *
>> * 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/
>
> _________________________________________________________________
> Invite your mail contacts to join your friends list with Windows Live
> Spaces. It's easy!
> http://spaces.live.com/spacesapi.aspx?wx_action=create&wx_url=/friends.aspx&;
> mkt=en-us
> *
> * 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/
>
>
>
> *
> * 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/
_________________________________________________________________
Invite your mail contacts to join your friends list with Windows Live Spaces. It's easy!
http://spaces.live.com/spacesapi.aspx?wx_action=create&wx_url=/friends.aspx&mkt=en-us
*
* 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/
