tag:blogger.com,1999:blog-6288862798546085706.post2486635971214095795..comments2019-10-15T11:23:50.799-04:00Comments on Econometrics By Simulation: Stata - Write your own "fast" bootstrapFrancishttp://www.blogger.com/profile/16658586705916884436noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-6288862798546085706.post-87062457455373057152015-02-19T11:55:50.940-05:002015-02-19T11:55:50.940-05:00Hi Abrahim,
This is quite a question set. Try pos...Hi Abrahim,<br /><br />This is quite a question set. Try posting this same question set perhaps on CrossValidated (http://stats.stackexchange.com/). Though to give you a short response that may be of guidance: 1. yes (standard OLS assumes the same thing no matter the data structure) 2. not sure what you mean 3. sounds like a bad idea to me 4. normality is really generally only an assumption important for the sake of efficiency 5. um, forget normalization :) 6. OLS does not require normality in order to imply consistency.<br /><br />Good luck!Francis Smarthttps://www.blogger.com/profile/16658586705916884436noreply@blogger.comtag:blogger.com,1999:blog-6288862798546085706.post-2599173536675738672015-02-13T10:27:05.897-05:002015-02-13T10:27:05.897-05:00Hello,
I have started the same thread in "Ap...Hello,<br /><br />I have started the same thread in "Applied Statistics" but I got no answer so maybe this sections is more appropriate. <br /><br />I'm trying to perform a panel regression using STATA. I have an unbalanced panel containing 313 companies over 15 years, 3005 observations. I am planning to use the xtreg, fe or xtreg, re commands and I'm familiar with Hausman test, tests for autocorr, heteroskedasticty and how to perform robust regressions etc. However I have a few problems before I get going.<br /><br />My questions are the following<br /><br />1) Does the OLS regression assumption of Normally distributed residuals apply to Panel Regressions?<br /><br />2) If it does, should I check for e to be normally distributed (not u)?<br /><br />3) If I need normality should it be enough to only transform and normalize my dependent variable? (I've read this on statalist)<br /><br />4) I've tried to transform my dependent variable (and independent variables) using the STATA command "ladder" though none of the options (cubic, square, square root, log, 1/square root, inverse, 1/square, 1/cubic) have been successfull. All my variables are ratios and exhibit kurtosis and skewness even after transformation. I have checked for normality using Shapiro Wilk, Shapiro- Francia, Skewness Kurtosis tests.<br /><br />5) As a last resort, I have tried a Boxcox transformation but I am not sure if I am doing it correctly. If I am not mistaken it should be capable of normalizing any data. Is this true? If so, can someone please explain in layman's terms how to perform it and normalize a variable in Stata and also interpret the results from Boxcox.<br /><br />6) If I am not able to transform my variables so that they are normally distributed (and get normally distributed residuals) can I perform a panel data regression in STATA based on any other distributions? If so, how and what distribution? Can you provide any links?<br /><br />I know I've asked alot of questions and some may not make sense but I am beginner in econometrics and I would REALLY appreciate any help as I am lost at sea. If you would like to take a look at my data and/or descriptive stats for my variables I would be happy to send it.<br /><br />I attached a picture to give you an Idea of how my variables are distributed as compared a to normal distribution. The top three are dependent variables ROA ROE M-to-B. I will perfrom 3 seperate regressions (one with each as dependent variable).<br /><br />Thank you,<br /><br />Abrahim khattakhttps://www.blogger.com/profile/12125984157463946404noreply@blogger.comtag:blogger.com,1999:blog-6288862798546085706.post-75921329195713531762013-06-05T04:44:25.516-04:002013-06-05T04:44:25.516-04:00Hi Thierry,
Check out:
http://www.econometricsbys...Hi Thierry,<br /><br />Check out:<br />http://www.econometricsbysimulation.com/2012/07/write-your-own-bootstrap-command.html<br /><br />That might give you what you are looking for though I am pretty sure unfortunately you have a more fundamental problem with the theory of the analysis you are trying to perform (judging from your linkedin help requests).<br /><br />FrancisFrancis Smarthttps://www.blogger.com/profile/16658586705916884436noreply@blogger.comtag:blogger.com,1999:blog-6288862798546085706.post-22798423492259498222013-06-04T18:55:23.036-04:002013-06-04T18:55:23.036-04:00Hi.. How can I bootstrap a test linear hypotheses ...Hi.. How can I bootstrap a test linear hypotheses after estimation<br /><br />thierryAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-6288862798546085706.post-20260869331106140612012-11-03T23:45:48.097-04:002012-11-03T23:45:48.097-04:00Ah, but it does work. Try it out :D
The reason I...Ah, but it does work. Try it out :D<br /><br />The reason I believe is because I have not yet switched to the mata console and am instead using mata as a prefix. Perhaps this is not the best way to do this but it works.Francis Smarthttps://www.blogger.com/profile/16658586705916884436noreply@blogger.comtag:blogger.com,1999:blog-6288862798546085706.post-61239940529788536392012-10-12T08:08:52.547-04:002012-10-12T08:08:52.547-04:00this cannot work as you mix the referencing of loc...this cannot work as you mix the referencing of locals in stata and mata context. In Mata `local' does not work. you have to use st_local("local").<br />Anonymousnoreply@blogger.com