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Re: st: ksmirnov
From
Nick Cox <[email protected]>
To
[email protected]
Subject
Re: st: ksmirnov
Date
Mon, 20 Aug 2012 16:40:04 +0100
Naturally I agree with Maarten on the point of list practice. He is
referring to an explicit request that posters use their full names.
2.1.3 within http://www.stata.com/support/faqs/resources/statalist-faq/#tojoin
means exactly what it says.
On the substantive question,
(1) if "series" means what I think it does, a time series of some
kind, then note that Kolmogorov-Smirnov tests tacitly assume mutual
independence
(2) the most direct way of comparing a distribution with t with 8 d.f.
is a quantile-quantile plot.
Example code to show how easy this is:
sysuse auto, clear
egen rank = rank(mpg), unique
su mpg, meanonly
local N = r(N)
gen tquantile = -invttail(8, (rank - 0.5) / `N')
scatter mpg tquantile
On Mon, Aug 20, 2012 at 4:17 PM, Maarten Buis <[email protected]> wrote:
> On Mon, Aug 20, 2012 at 5:05 PM, houda wrote:
>> I m trying to find a simple way to test if a series is t-distributed with 8
>> degrees
>> of freedom using a Kolmogorov-Smirnov test, could you please help me?
>
> Policy on the statalist is not to post anonymous questions. This is
> clearly explained in the Statalist FAQ.
>
> -- Maarten
>
> ---------------------------------
> Maarten L. Buis
> WZB
> Reichpietschufer 50
> 10785 Berlin
> Germany
>
> http://www.maartenbuis.nl
> ---------------------------------
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