Hey
I need to do the following , i have variable 1 (log returns ) ,var2 (lag 1
of log returns) and var3 ( returns based on moving average rules, can be
thought of as returns starting at point 50 of the data)
I use reg var1 var2 to get the residuals which are saved in e(rss)
I need to save this matrix into a variable (var4), i do not know how to do
that and this is the most important step for me i think
The following steps for the problem i mentioned just in the previous
thread i think i can solve them throught the following
-bsample _N, var4 ( i don t know if the command is correct, any
modification is welcome)
- I take the cooeficients of the AR 1 model from the previous regress to
fit into the new AR1 model:
gen var5= scalar (a) + b* lag1 var3+ the bssample results i get from above
(again command is welcome as i am not sure how to do this in stata)
This will produce a new set of returns , then all i want to do is
bootstrap these returns to see their meeans which can be carried out
using:
bootstrap (location: mean=r(mean)), rep(1000) saving(k:\bs.dta): sum var5
This is just a thought i have, any comments ?
Regards
--
Mahmoud Abd El Aal
MSc. F&I
UOB
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