Skewness–kurtosis bounds for the skewed generalized T and related distributions
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.
Volume (Year): 83 (2013)
Issue (Month): 9 ()
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References listed on IDEAS
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- Hansen, Christian & McDonald, James B. & Newey, Whitney K., 2010.
"Instrumental Variables Estimation With Flexible Distributions,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 28(1), pages 13-25.
- Christian Hansen & James B. McDonald & Whitney K. Newey, 2007. "Instrumental variables estimation with flexible distribution," CeMMAP working papers CWP21/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Panayiotis Theodossiou, 1998. "Financial Data and the Skewed Generalized T Distribution," Management Science, INFORMS, vol. 44(12-Part-1), pages 1650-1661, December.
- 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.
- Hansen, Bruce E, 1994. "Autoregressive Conditional Density Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-730, August.
- Hansen, B.E., 1992. "Autoregressive Conditional Density Estimation," RCER Working Papers 322, University of Rochester - Center for Economic Research (RCER).
- Tom Doan, "undated". "RATS programs to replicate Hansen's GARCH models with time-varying t-densities," Statistical Software Components RTZ00086, Boston College Department of Economics.
- 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 (IfW), vol. 1, pages 1-20.
- Theodossiou, Panayiotis & McDonald, James B. & Hansen, Christian B., 2007. "Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models," Economics Discussion Papers 2007-13, Kiel Institute for the World Economy (IfW).
- 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. Full references (including those not matched with items on IDEAS)
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