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Wilcoxon Signed Rank Test with two Series?
Posted: Wed May 06, 2015 4:57 pm
by Deninhoo
Hello,
I have two series. If I group them I can only do a simple t-test or a Wilcoxon Mann Whitney Test.
I want to test whether the difference between the means of two series is significantly different or not.
Is it possible to substract series X from series Y or the other way round and then with just one series do the wilcoxon signed rank test?
thanks you very much!
regards
Deni
Re: Wilcoxon Signed Rank Test with two Series?
Posted: Thu May 07, 2015 10:52 am
by EViews Glenn
I don't believe so. The unpaired form Is a slightly different form for the test as it's testing for median 0. To be honest, I think the easiest way is just to compute it directly.
Re: Wilcoxon Signed Rank Test with two Series?
Posted: Fri May 08, 2015 2:32 am
by Deninhoo
Hi Glenn,
thanks for your reply.
What do you mean with "compute it directly"?
I have another question: I want to estimate a regression where one independent variable is constant (total expense ratio). If I estimate the regression EViews shows a matrix singular error.. Do you know if it is possible to estimate a regression with a constant indep. variable?
Thanks!!
Re: Wilcoxon Signed Rank Test with two Series?
Posted: Fri May 08, 2015 10:09 am
by EViews Glenn
It's a pretty simply calculation.
Off the top of my head. Compute the difference series as you've described. Rank the non-zero absoulte differences. Create a new series which is equal to +/- 1 where the sign matches the difference series. Compute the absolute value of the sign weighted ranks. For a full sample calculation, something like
Code: Select all
smpl @all
series x = y1 - y2 ' compute the difference
smpl if x<>0 ' use the non-zero pairs
series r = @ranks(@abs(x)) ' rank by absolute difference
series sgn = @recode(x>0, 1, -1) ' obtain the signs
series rsgn = r*sgn ' compute the sign weighted ranks
scalar ranksum = @abs(@sum(rsgn)) ' take the absolute sum
You'll then have to compare to the values in a table. You should be able to find critical values on the net.
As to your other question. Only if you don't also have an intercept.