Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: normality test using the over identifying moment conditions
From
Nick Cox <[email protected]>
To
[email protected]
Subject
Re: st: normality test using the over identifying moment conditions
Date
Thu, 31 Jan 2013 12:30:44 +0000
There is no mention here of what command you are using. With this kind
of data the number of values is usually so large that any test will
produce results significant at conventional levels, i.e. normality
will be rejected even for trivial deviations from normality.
A search of the archives will show many posts explaining why tests of
normality are usually a bad idea.
Nick
On Thu, Jan 31, 2013 at 12:21 PM, Usman Gilani <[email protected]> wrote:
> Hi,
> I'm trying to interpret the following results, with respect to "normality
> test using the over identifying moment conditions"
>
> where returns have normal distribution
> with parameter mu,sd
> and i have 4 moment conditions
>
>>E[r-mu/sd]=0
>
>>E[(r-mu)^2/sd-1]=0
>
>>E[(r-mu)^3/sd^3]=0
>
>>E[(r-mu)^4/sd^4-3]=0
>
> output..
> gel(g = g, x = returns, tet0 = c(f3$estimate[1], f3$estimate[2]))
>
> Type of GEL: EL
>
> Coefficients:
> Estimate Std. Error t value Pr(>|t|)
> mean -0.01168 0.05614 -0.20805 0.83519
> sd 1.77591 0.03965 44.79218 0.00000
>
> Lambdas:
> Estimate Std. Error t value Pr(>|t|)
> Lambda[1] -0.09743 0.03912 -2.49028 0.01276
> Lambda[2] 0.65728 0.02443 26.90505 0.00000
> Lambda[3] 0.03247 0.01304 2.48961 0.01279
> Lambda[4] -0.10954 0.00407 -26.90423 0.00000
>
> Over-identifying restrictions tests: degrees of freedom is 2
> statistics p-value
> LR test 2.3341e+02 2.0730e-51
> LM test 7.2417e+02 5.5954e-158
> J test 7.2417e+02 5.5954e-158
>
> Convergence code for the coefficients: 0
>
> Convergence code for the lambdas: 0
>
>
> does the J-test p-value rejecting the null E[g(theta,x)]=0, and which moment
> condition is true under normality
>
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/