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From |
Stas Kolenikov <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Standard Errors for Skewness & Kurtosis |

Date |
Fri, 10 Sep 2010 08:52:11 -0500 |

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. >> * >> * 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/ >> > > * > * 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/ > -- 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/

**Follow-Ups**:**Re: st: Standard Errors for Skewness & Kurtosis***From:*Steve Samuels <sjsamuels@gmail.com>

**References**:**st: Standard Errors for Skewness & Kurtosis***From:*Philip Burgess <philip.burgess.uq@gmail.com>

**Re: st: Standard Errors for Skewness & Kurtosis***From:*Stas Kolenikov <skolenik@gmail.com>

**Re: st: Standard Errors for Skewness & Kurtosis***From:*Philip Burgess <philip.burgess.uq@gmail.com>

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