Bootstrapped Skewness-Ajusted t-statistic

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Bootstrapped Skewness-Ajusted t-statistic

Postby michael on Tue May 12, 2009 12:48 am

Hi,

does anyone know if Eviews can calculate a bootstrapped skewness adjusted t-statistic. The formula should look something like the one in the attached wordfile.

Thx.
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michael
 
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Re: Bootstrapped Skewness-Ajusted t-statistic

Postby michael on Tue May 12, 2009 4:02 am

Maybe I need to give you some more information on what I want to do. I want to calculate the abnormal return between a stock and a benchmark portfolio. As the stock returns are positively skewed, the t-statistic is likely to be wrong and this is why I need to apply the bootstrapped skewness adjusted t-statistic.
michael
 
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Re: Bootstrapped Skewness-Ajusted t-statistic

Postby trubador on Tue May 12, 2009 7:45 am

Yes, Eviews can calculate the skewness adjusted t-statistic, since it is relatively a straightforward procedure. It seems you have the required formulas and variables. Then all you need is the "resample" procedure for bootstrapping in Eviews, which also allows you to assign weights.
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Re: Bootstrapped Skewness-Ajusted t-statistic

Postby michael on Tue May 12, 2009 10:31 am

Ok, resampling gives me a new resample for the return of the stock. However, I do not know how I get the know t-statistic, whereby in the numerator should be the (new resampled) return of the stock minus the return on the benchmark? Can someone please comment on that and give detailed instructions on how to do it.

What I am basically trying to do is calculating a buy-and-hold abnormal return with a bootstrapped skewness adjusted t-statistic.
michael
 
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