Event Study - Non Parametric Tests

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Daniel
Daniel 2013-8-24
I have run this code, but it does not yield the same result as in Excel?
%%%%%T4 Statistics Calculation
S_adj_T4 = S_adj_T3_2 ;
rep_S_adj_T4 = repmat(S_adj_T4, L1+L2, 1) ;
AR_all = [AR_est ; AR_event] ;
adj_stand_AR_T4 = AR_all./rep_S_adj_T4 ;
rank_T4 = tiedrank(adj_stand_AR_T4) ;
U_T4 = rank_T4/((L1+L2)+1) - 1/2 ;
for i = 1 : L1+L2 ;
sum_U_T4(i) = nansum(U_T4(i, :)) ;
end
for i = 1 : L1+L2 ;
nPos_T4(i) = nansum(U_T4(i,:)>0);
end ;
for i = 1 : L1+L2 ;
sqrt_T4(i) = 1/(sqrt(nPos_T4( : , i))) ;
end ;
q = nansum((sum_U_T4.*sqrt_T4).*(sum_U_T4.*sqrt_T4)) ;
S_k = sqrt(1/(L1+L2)*q) ;
for i = 1 : L1+L2 ;
T4stat(i) = (1/sqrt(N)*sum_U_T4( : , i))/S_k ;
end ;
T4stat = T4stat( : , L1+1:end) ;
for i = 1 : L1+L2 ;
T4CARstat(i) = (1/sqrt(N)*sum_U_T4( : , i))/(S_k*sqrt(L2)) ;
end ;
T4CARstat = nansum(T4CARstat( : , L1+1:end)) ;
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Daniel
Daniel 2013-8-24
Sorry something must have slipped in the final inserting of the code. The questions is whether it reflects a certain formula. But I do not seem able to upload pictures or excel sheets in the forum.
Do you have any suggestions for this?
the cyclist
the cyclist 2013-8-24
See the replies here:
http://www.mathworks.com/matlabcentral/answers/7924-where-can-i-upload-images-and-files-for-use-on-matlab-answers
I would warn you, though, that I don't think you will get someone willing to go line-by-line through your code, and guess what is happening in Excel that might be different.
I think you might need to narrow your problem a little.

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Daniel
Daniel 2013-8-25
Fair enough. I will work to narrowing down my problem, however, it is basically, just how to write a formula correctly in Matlab, because it seems that the code I have written so far does not retrieve the correct result.
I will post again, if I have narrowed down the problem and have a specific question to ask.
Nonetheless Thank you for your comments.

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