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Skewness-kurtosis bounds for the skewed generalized T and related distributions

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Author Info

  • Sean C. Kerman

    (Department of Economics, Brigham Young University)

  • James B. McDonald

    ()
    (Department of Economics, Brigham Young University)

Abstract

Bounds for the skewness kurtosis space corresponding to the skewed generalized T, skewed generalized error, skewed T, and some other distributions are presented and contrasted with the bounds reported by Klaassen et al.(2000) for unimodal probability density functions. The skewed generalized T and skewed generalized error distributions have the greatest flexibility of the distributions considered.

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File URL: http://economics.byu.edu/Documents/Macro%20Lab/Working%20Paper%20Series/BYUMCL2012-10.pdf
File Function: First version, 2012
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Bibliographic Info

Paper provided by Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory in its series BYU Macroeconomics and Computational Laboratory Working Paper Series with number 2012-10.

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Length: 11 pages
Date of creation: Nov 2012
Date of revision:
Publication status: Published in Statistics & Probability Letters, Volume 83, Issue 9, September 2013, Pages 2129–2134.
Handle: RePEc:byu:byumcl:201210

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Keywords: Skewed generalized T; Kurtosis; Skewness;

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  1. Theodossiou, Panayiotis & McDonald, James B. & Hansen, Christian B., 2007. "Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 1(7), pages 1-20.
  2. Klaassen, Chris A. J. & Mokveld, Philip J. & van Es, Bert, 2000. "Squared skewness minus kurtosis bounded by 186/125 for unimodal distributions," Statistics & Probability Letters, Elsevier, vol. 50(2), pages 131-135, November.
  3. Christian Hansen & James B. McDonald & Whitney Newey, 2007. "Instrumental variables estimation with flexible distribution," CeMMAP working papers CWP21/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  4. McDonald, James B. & Newey, Whitney K., 1988. "Partially Adaptive Estimation of Regression Models via the Generalized T Distribution," Econometric Theory, Cambridge University Press, vol. 4(03), pages 428-457, December.
  5. Hansen, B.E., 1992. "Autoregressive Conditional Density Estimation," RCER Working Papers 322, University of Rochester - Center for Economic Research (RCER).
  6. Panayiotis Theodossiou, 1998. "Financial Data and the Skewed Generalized T Distribution," Management Science, INFORMS, vol. 44(12-Part-1), pages 1650-1661, December.
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