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st: How to calculate kurtosis on left tail and right tail separately?


From   李 梦佳 <limengjia626@163.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: How to calculate kurtosis on left tail and right tail separately?
Date   Sun, 14 Apr 2013 13:22:36 +0800

Dear statalist,

I wish to test the kurtosis difference between female- and male-managed funds return to examine the possibility of great gain and great loss separately. The current code leads me to an overall kurtosis value on both tails. Is there any way to calculate the kurtosis value on each tail?

My current code:
bys Fund Year, egen kurt = kurt (Return)

For each fund at each year, 52 weekly returns are provided.

Thanks and regards,
Mengjia

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