[时间序列问题] 急求如何在stata中运用boxcox将时间序列转化为正态分布 [推广有奖]

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昨夜将军连晓战 发表于 2017-11-16 22:34:10 |只看作者 |坛友微信交流群|倒序 |AI写论文

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想请问下，怎么在stata中用boxcox将一列本不是正态分布的数据转化为正态分布的？
做了命令如下：“boxcox absx2”（absx2为变量值），得到的数据结果如下：
. boxcox absx2
Fitting comparison model
Iteration 0: log likelihood = -939.70641
Iteration 1: log likelihood = -146.16592
Iteration 2: log likelihood = -128.71365
Iteration 3: log likelihood = -128.34386
Iteration 4: log likelihood = -128.34366
Iteration 5: log likelihood = -128.34366
Fitting full model
Iteration 0: log likelihood = -939.70641
Iteration 1: log likelihood = -146.16592
Iteration 2: log likelihood = -128.71365
Iteration 3: log likelihood = -128.34386
Iteration 4: log likelihood = -128.34366
Iteration 5: log likelihood = -128.34366
                                                Number of obs =       204
                                                LR chi2(0)    =    0.00
Log likelihood = -128.34366                      Prob > chi2    =       .

------------------------------------------------------------------------------
   absx2 |    Coef. Std. Err.    z P>|z|    [95% Conf. Interval]
-------------+----------------------------------------------------------------
   /theta |  -.0298817 .0259776 -1.15 0.250 -.0807969 .0210335
------------------------------------------------------------------------------

Estimates of scale-variant parameters
----------------------------
         |    Coef.
-------------+--------------
Notrans    |
   _cons |  -1.316571
-------------+--------------
   /sigma | 1.650568
----------------------------
---------------------------------------------------------
Test       Restricted    LR statistic    P-value
H0:    log likelihood    chi2    Prob > chi2
---------------------------------------------------------
theta = -1    -614.50175    972.32          0.000
theta =  0    -129.01617       1.35          0.246
theta =  1    -939.70641    1622.73          0.000
---------------------------------------------------------