On sample skewness and kurtosis

DOI10.1080/07474938.2012.690665zbMATH Open1491.62180OpenAlexW2083594329MaRDI QIDQ5080552FDOQ5080552

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

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zbMATH Keywords

biaskurtosisskewness

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (5)

• Skewness and kurtosis analysis for non-Gaussian distributions
• Identification of DSGE models -- the effect of higher-order approximation and pruning
• Title not available (Why is that?)
• Optimising portfolio diversification and dimensionality
• SOME REMARKS ON THE MEAN, MEDIAN, MODE AND SKEWNESS

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