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From |
Nick Cox <njcoxstata@gmail.com> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

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

Date |
Sun, 14 Apr 2013 11:16:16 +0100 |

Quite what do you mean by the kurtosis of each tail? Kurtosis is a quantity defined for an entire distribution; you _could_ calculate kurtosis conditionally for e.g. (values > mean) and (values < mean) but the results won't be comparable with kurtosis for the entire distribution. You could also mirror each tail by its reflection, e.g. the left half and itself reflected is cond(value > mean, value - mean, mean - value) and conversely for the right half you could get cond(value < mean, value - mean, mean - value) Note that now you are now calculating kurtosis for about 13 values, doubled up, not a good idea, as previously commented. Nick njcoxstata@gmail.com On 14 April 2013 06:22, Mengjia wrote: > 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. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**References**:**st: How to calculate kurtosis on left tail and right tail separately?***From:*李 梦佳 <limengjia626@163.com>

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