Trial Fri

[Tom McGrath]

I am looking for guidance on interpreting my results from running a rsktest. Below are my results when I test, for context I am testing portfolio returns across different industries.

This is my interpretation of the results and I was hoping someone could correct me if I am wrong.

Null hypothesis: The returns are normally distributed.

• If both Pr(Skewness) and Pr(Kurtosis) are > .05 we fail to reject the null hypothesis.
• If both Pr(Skewness) and Pr(Kurtosis) are < .05 we reject the null hypothesis.
• If Pr(Skewness) is < .05 and Pr(Kurtosis) > .05 then we reject on the basis of skewness and fail to reject on the basis of kurtosis.
• If Pr(Skewness) is > .05 and Pr(Kurtosis) < .05 then we fail to reject on the basis of skewness and reject on the basis of kurtosis.

I am unsure on those last two points but I think the first two are correct.

In the explanation in the Stata.com manual they mention a 12% level, where is the 12% coming from? The Prob > chi2 ? https://www.stata.com/manuals13/rsktest.pdf


An example, For Agric we can reject the null hypothesis that it is normally distrbuted as Pr(Skewness) is < .05 and likewise for Pr(Kurtosis). For Food we fail to reject the null hypothesis on the basis of skewness but we could on the basis of kurtosis?





Any input greatly appreciated.
Tom.

[Tom McGrath]

here is the image