On a related note kdens by Ben Jann does not seem to support
non-integer degrees of freedom in its student() option...
On Mon, Sep 28, 2009 at 3:07 PM, Nick Cox <[email protected]> wrote:
> 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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>
*
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