Thanks for your answers and sorry if I was not clear on my point.
I try to explain it better. My strategy is the following:
1. Estimating the actual distribution of my dependent variable (market returns); is kernel density the right solution for this?
2. Generating n random samples for market returns according to the actual distibution which I estimated at the previous point;
3. Performing panel regressions by using the randomly generated returns.
Thank you and sorry again for my lack of clarity.
Emanuele
> From: [email protected]
> To: [email protected]
> Subject: RE: R: st: RE: montecarlo simulations with actual distributions
> Date: Wed, 2 Jul 2008 15:49:31 +0200
>
> Regarding unnecessary queries to the list: how much would it take to
> implement a search function for the Statalist discussions in official
> Stata`s help menu? -search- could automatically include the material
> available from the "Archive search" button on the site
> http://www.stata.com/statalist/archive/. That would surely lower the
> frequency of unnecessary posts...
>
>
> 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 Nick Cox
> Sent: Wednesday, July 02, 2008 3:25 PM
> To: [email protected]
> Subject: RE: R: st: RE: montecarlo simulations with actual distributions
>
> Please see advice in the Statalist FAQ on how to find out things. The
> list is not a substitute for -help-, -search-, -findit- or Google.
>
> You can do nonparametric regressions in various ways in Stata.
>
> Official commands include -lowess-, -lpoly-.
>
> Unofficial commands include -mrunning-, -rcspline-.
>
> Outdated unofficial commands include anything whose name starts with
> -kernreg-.
>
> Use -findit- for precise locations.
>
> However, nonparametric regression with multiple predictors is not well
> supported in Stata -- except that, arguably, fractional polynomials are
> very well supported.
>
> More to the point, I am not clear how you would combine bootstrapping
> with any regression not parametrically specified. What do you have in
> mind?
>
> Nick
> [email protected]
>
> emanuele canegrati
>
> I am performing the bootstrap regressions. Do you know which is the
> STATA command to perform non-parametric bootstrap regressions?
>
> *
> * 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/
_________________________________________________________________
Explore the seven wonders of the world
http://search.msn.com/results.aspx?q=7+wonders+world&mkt=en-US&form=QBRE
*
* 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/
