Also, look carefully at a graph. There doesn't seem to be a -qt- but
-qnorm- is much better than nothing. You should expect to see symmetric
and systematic deviation from normal (Gaussian) expectation.
Nick
[email protected]
Martin Weiss
As Maarten said back in the day
(http://www.stata.com/meeting/snasug08/buis_MLBsimulate.zip), you have
to
-simulate- these things to make up your own mind whether you are on the
right path:
*************
//drop it beforehand
capt prog drop sim
//define the program
program define sim
version 11
syntax [, df(integer 5) obs(real 10000)]
drop _all
set obs `obs'
tempvar z
gen `z' = rt(`df')
ksmirnov `z' = 1-ttail(`df',`z')
end
//simulate it!
simulate pcor=r(p_cor), /*
*/ reps(1000): sim
//result?
qui cou if pcor<0.05
di in red "Rejections: `r(N)', " /*
*/ "for a rate of: " r(N)/c(N)
*************
Tzygmund mcfarlane
I am trying to test if a series is t-distributed with (say) 6 degrees
of freedom using a Kolmogorov-Smirnov test. Is this the right way to
do it?
webuse wpi1
g returns = D.ln_wpi
ksmirnov returns = 1-ttail(6, returns)
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