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Re: st: Standard Errors for Skewness & Kurtosis
From
Stas Kolenikov <[email protected]>
To
[email protected]
Subject
Re: st: Standard Errors for Skewness & Kurtosis
Date
Fri, 10 Sep 2010 08:52:11 -0500
Check the code; it must compute the standard errors somehow, although
it might do so under the assumption of normality. At any rate, the
standard error for kurtosis will be a function of the eighth moment of
the data, and that's a lot to ask: it may not exist, and even if it
does, it will be quite unstable unless you have a few thousand
observations.
If Stata had contour plots, you could've constructed a cute empirical
likelihood diagram for the joint confidence set of skewness and
kurtosis (I've got the basic empirical likelihood code, but I've no
clue as to how to proceed with contour plots; I know Sergiy Radyakin
did some of them, but I am not sure mere mortals can reproduce his
work in Stata graphics :)). I think you can do this in R, I vaguely
remember doing this myself.
On Thu, Sep 9, 2010 at 10:19 PM, Philip Burgess
<[email protected]> wrote:
> Stas;
>
> No - I've checked the Saved Results for sktest with no joy.
>
> Thanks;
>
> Philip
>
> On Fri, Sep 10, 2010 at 1:08 PM, Stas Kolenikov <[email protected]> wrote:
>> On Thu, Sep 9, 2010 at 9:52 PM, Philip Burgess
>> <[email protected]> wrote:
>>> I can't find any ado that calculates the standard errors for skewness
>>>
>>> Do you know of such or how I might estimate these?
>>
>> Is there anything available as a by-product of -sktest-? If not, the
>> ado-file must compute the standard errors to perform the test, I
>> believe.
>>
>> --
>> Stas Kolenikov, also found at http://stas.kolenikov.name
>> Small print: I use this email account for mailing lists only.
>> *
>> * For searches and help try:
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>> * http://www.ats.ucla.edu/stat/stata/
>>
>
> *
> * For searches and help try:
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>
--
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/