Arbeitspapier
Normal but skewed?
We propose a multivariate normality test against skew normal distributions using higher-order loglikelihood derivatives which is asymptotically equivalent to the likelihood ratio but only requires estimation under the null. Numerically, it is the supremum of the univariate skewness coefficient test over all linear combinations of the variables. We can simulate its exact finite sample distribution for any multivariate dimension and sample size. Our Monte Carlo exercises confirm its power advantages over alternative approaches. Finally, we apply it to the joint distribution of US city sizes in two consecutive censuses finding that non-normality is very clearly seen in their growth rates.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP24/21
- Klassifikation
-
Wirtschaft
Specific Distributions; Specific Statistics
Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
- Thema
-
City size distribution
exact test
extremum test
Gibrat's law
skew normal distribution
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Amengual, Dante
Bei, Xinye
Sentana, Enrique
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2021
- DOI
-
doi:10.47004/wp.cem.2021.2421
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Amengual, Dante
- Bei, Xinye
- Sentana, Enrique
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2021
Ähnliche Objekte (12)
Skewed norms under peer pressure: Formation and collapse
Estimating growth at risk with skewed stochastic volatility models
Skewed credit and growth dynamics after the global financial crisis
Van Zwet ordering and the Ferreira-Steel family of skewed distributions
GTL Regression: A Linear Model with Skewed and Thick-Tailed Disturbances
Skewed logistic distribution for statistical temperature post-processing in mountainous areas
Non-standard central bank loss functions, skewed risks, and certainty equivalence
Inequality and Market Concentration, when Shareholding is more Skewed than Consumption
Inequality and Market Concentration, When Shareholding Is More Skewed Than Consumption
Accounting for Skewed or One-Sided Measurement Error in the Dependent Variable
A general approach to integrated risk management with skewed, fat-tailed risks
Equilibrium dynamics under lump-sum taxation in an exchange economy with skewed endowments
Skewed norms under peer pressure: Formation and collapse
Estimating growth at risk with skewed stochastic volatility models
Skewed credit and growth dynamics after the global financial crisis
Van Zwet ordering and the Ferreira-Steel family of skewed distributions
GTL Regression: A Linear Model with Skewed and Thick-Tailed Disturbances
Skewed logistic distribution for statistical temperature post-processing in mountainous areas
Non-standard central bank loss functions, skewed risks, and certainty equivalence
Inequality and Market Concentration, when Shareholding is more Skewed than Consumption
Inequality and Market Concentration, When Shareholding Is More Skewed Than Consumption
Accounting for Skewed or One-Sided Measurement Error in the Dependent Variable
A general approach to integrated risk management with skewed, fat-tailed risks
Equilibrium dynamics under lump-sum taxation in an exchange economy with skewed endowments
Skewed norms under peer pressure: Formation and collapse
Estimating growth at risk with skewed stochastic volatility models
Skewed credit and growth dynamics after the global financial crisis
Van Zwet ordering and the Ferreira-Steel family of skewed distributions
GTL Regression: A Linear Model with Skewed and Thick-Tailed Disturbances
Skewed logistic distribution for statistical temperature post-processing in mountainous areas
Non-standard central bank loss functions, skewed risks, and certainty equivalence
Inequality and Market Concentration, when Shareholding is more Skewed than Consumption
Inequality and Market Concentration, When Shareholding Is More Skewed Than Consumption
Accounting for Skewed or One-Sided Measurement Error in the Dependent Variable
A general approach to integrated risk management with skewed, fat-tailed risks