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Re: st: Skewness estimates with svyset data


From   "Richard Palmer-Jones" <richard.palmerjones@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Skewness estimates with svyset data
Date   Mon, 3 Nov 2008 17:13:07 +0000

Thanks - I did check using summarize with weights, and other tests
(sktest), and qnorm/pnrom, and generally skewness is no problem, but
for some subsamples it may be. I am jconcerned that  stratification is
lost by these views.

Could you please clarify the nlcom formula, please?

nlcom (_b[ht3] - 3*_b[ht2] * _b[ht] + 2*_b[ht])/(_b[ht2] - _b[ht] *  _b[ht])^3/2

(ht being height, ht = ht^2 and ht3 = ht^3)

I suspect my translation is not correct as the coefficients I get are
not close to skewness (and is it the formula for skewness?).

Thanks again.

Richard

On Mon, Nov 3, 2008 at 3:26 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote:
> Stas gives good advice, except that the implication of his last
> throw-away remark is incorrect. Far from being exotic, standard errors
> for skewness are often used, even if tacitly. Many people use tests for
> (non-zero) skewness, (non-Gaussian) kurtosis, or both, based on
> estimates of skewness and/or kurtosis and their standard errors. See
> e.g. -varnorm-. These tests are often attributed to Jarque and Bera by
> economists, on the usual grounds
>
> 1. they wrote about them
> 2. they are economists
> 3. econometricians seem to have a bias to naming tests after people,
> rather than using names to describe what they do (I owe this observation
> to Stas himself).
>
> These criteria do not include the more convincing grounds that Jarque
> and Bera invented or discovered them.
>
> More importantly, these tests are based on asymptotic ses when there is
> plenty of evidence that they are a lousy approximation for small
> samples.
>
> My own biases are that you want to examine for normality you are best
> off with -qnorm- and that if you want a test regardless you are better
> off with -omninorm- from SSC. But neither is adapted to the survey case.
>
>
> Nick
> n.j.cox@durham.ac.uk
>
> Stas Kolenikov
>
> On 11/3/08, Richard Palmer-Jones <richard.palmerjones@gmail.com> wrote:
>>  I hope this is not a stupid question, but how can I get skewness
>>  estimates from svyset data? If it is, please enlighten me.
>
> If you want to eye-ball it, you can run just the regular -summarize
> [fw=], d-, and keep your fingers crossed that the algebra is the same
> with -fw- and -pw-. A better way would be to create the necessary
> moments of your variables, and make that nonlinear skewness formula
> out of them:
>
> g x2 = x*x
> g x3 = x*x
> svy: means x x2 x3
> nlcom (x3-3*x2*x+2*x)/(x2-x*x)^3/2
>
> or whatever the proper -nlcom- syntax is. I bet you've never seen
> standard errors on skewness coefficient in your life :))
>
> --
> Stas Kolenikov, also found at http://stas.kolenikov.name
> Small print: I use this email account for mailing lists only.
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