On sample skewness and kurtosis

DOI10.1080/07474938.2012.690665MaRDI QIDQ5080552zbMATH OpenOpenAlexFDO

Authors Yong Bao

Publication date 31 May 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2012.690665

zbMATH Keywords

biaskurtosisskewness

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A SIMPLE TEST OF NORMALITY FOR TIME SERIES
• A bias-adjusted LM test of error cross-section independence
• BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST
• Finite sample theory of QMLE in ARCH models with dynamics in the mean equation
• Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models
• Jackknife estimation of stationary autoregressive models
• Jarque–Bera Test and its Competitors for Testing Normality – A Power Comparison
• Moments of the ratio of quadratic forms in non-normal variables with econometric examples
• On ratios of random variables and generalised mortality rates
• On the correct use of omnibus tests for normality
• Small sample properties of forecasts from autoregressive models under structural breaks
• Testing normality: a GMM approach
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The distribution of a Lagrange multiplier test of normality
• The large-sample distribution of the most fundamental of statistical summaries
• The second-order bias and mean squared error of nonlinear estimators

Cited in

(9)

• Skewness and kurtosis analysis for non-Gaussian distributions
• Identification of DSGE models -- the effect of higher-order approximation and pruning
• scientific article; zbMATH DE number 5990504 (Why is no real title available?)
• Optimising portfolio diversification and dimensionality
• On skewness and kurtosis of econometric estimators
• Nearly unbiased estimation of sample skewness
• On Blest's measure of kurtosis adjusted for skewness
• SOME REMARKS ON THE MEAN, MEDIAN, MODE AND SKEWNESS
• Adjusting the tests for skewness and kurtosis for distributional misspecifications

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