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From |
Steve Samuels <sjsamuels@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 10 Sep 2010 18:58:57 -0400 |

As in: ************** sysuse auto, clear bootstrap r(skewness) r(kurtosis) , reps(10000): sum mpg, det ************* I'm curious: why do you need these quantities? Steve On Fri, Sep 10, 2010 at 6:09 PM, Steve Samuels <sjsamuels@gmail.com> wrote: > 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. >>>> * >>>> * 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/ >> > * * 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/

**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>

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

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

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