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Re: st: Standard Errors for Skewness & Kurtosis


From   Steve Samuels <sjsamuels@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Standard Errors for Skewness & Kurtosis
Date   Fri, 10 Sep 2010 18:09:49 -0400

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
sjsamuels@gmail.com
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 <skolenik@gmail.com> 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
> <philip.burgess.uq@gmail.com> 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 <skolenik@gmail.com> wrote:
>>> On Thu, Sep 9, 2010 at 9:52 PM, Philip Burgess
>>> <philip.burgess.uq@gmail.com> 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.
>
> *
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> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>

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