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Re: st: Standard Errors for Skewness & Kurtosis
From
Steve Samuels <[email protected]>
To
[email protected]
Subject
Re: st: Standard Errors for Skewness & Kurtosis
Date
Fri, 10 Sep 2010 18:58:57 -0400
As in:
**************
sysuse auto, clear
bootstrap r(skewness) r(kurtosis) , reps(10000): sum mpg, det
*************
I'm curious: why do you need these quantities?
Steve
On Fri, Sep 10, 2010 at 6:09 PM, Steve Samuels <[email protected]> wrote:
> The exact standard deviations (and hence, standard errors) for any
> distribution, not just the Gaussian, can be found in either edition of
> CR Rao, Linear Statistical Inference and its Applications, Wiley.
> However I suggest that you get the standard errors via jackknife or
> bootstrap.
>
> Steve
>
> Steven J. Samuels
> [email protected]
> 18 Cantine's Island
> Saugerties NY 12477
> USA
> Voice: 845-246-0774
> Fax: 206-202-4783
>
> On Fri, Sep 10, 2010 at 9:52 AM, Stas Kolenikov <[email protected]> wrote:
>> 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.
>>>> *
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>>>>
>>>
>>> *
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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/
>>
>
*
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