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SKEWREG: Stata module to estimate skewness and kurtosis regressions

Author

Listed:
  • Qiang Chen

    (Shandong University)

Programming Language

Stata

Abstract

skewreg performs skewness regression for cross-sectional or time-series data as defined in Chen and Xiao (2020), which quantifies the effects of covariates on quantile-based measure of skewness of the conditional distribution. skewreg calls sqreg for simultaneous quantile regression, which reports bootstrap standard errors. skewreg then use margins to computes average marginal effects (AME), which are parameters of interest. kurtosisreg performs kurtosis regression for cross-sectional or time-series data as defined in Chen and Xiao (2020), which quantifies the effects of covariates on quantile-based measure of kurtosis of the conditional distribution. kurtosisreg calls sqreg for simultaneous quantile regression, which reports bootstrap standard errors. kurtosisreg then use margins to computes average marginal effects (AME), which are parameters of interest.

Suggested Citation

  • Qiang Chen, 2020. "SKEWREG: Stata module to estimate skewness and kurtosis regressions," Statistical Software Components S458818, Boston College Department of Economics, revised 01 Jan 2024.
    • Handle: RePEc:boc:bocode:s458818
    Note: This module should be installed from within Stata by typing "ssc install skewreg". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/s/skewreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/skewreg.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/k/kurtosisreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/k/kurtosisreg.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/spreadreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/spreadreg.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/census80.dta
    File Function: sample data file
    Download Restriction: no
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