On skewness and kurtosis of econometric estimators

DOI10.1111/j.1368-423X.2009.00289.xzbMath1206.62027MaRDI QIDQ3161674

Aman Ullah, Yong Bao

Publication date: 15 October 2010

Published in: Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

stochastic expansions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (1)

Bias in estimating multivariate and univariate diffusions

Cites Work

• Finite sample properties of maximum likelihood estimator in spatial models
• The second-order bias and mean squared error of estimators in time-series models
• The second-order bias and mean squared error of nonlinear estimators
• Moments of the ratio of two dependent quadratic forms
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The Validity of Nagar's Expansion for the Moments of Econometric Estimators
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• Approximations to Finite Sample Moments of Estimators Whose Exact Sampling Distributions are Unknown

This page was built for publication: On skewness and kurtosis of econometric estimators