IDEAS home Printed from https://ideas.repec.org/p/hal/wpaper/halshs-00353291.html
   My bibliography  Save this paper

Two Methods To Generate Centered Distributions Controlling Skewness And Kurtosis Coefficients

Author

Listed:
  • Pierre-Eric Treyens

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, CIREQ - Centre interuniversitaire de recherche en économie quantitative)

Abstract

Whatever the econometric model which we study; any simulation requires a perfectly definite DGP. Thus, even if all software can generate standard normal distributions, we need methods not programmed to control higher moments. For all these methods, we need to estimate the parameters connected to the desired values of the higher moments. Within the framework of Monte Carlo experiments, the computing times of this estimate are then not very important. Indeed, once these parameters estimated, we can re-use them and the computing time of simulations does not suffer from it. On the other hand, for a parametric bootstrap which would consider the first four moments, the computing time is then multiplied by the number of desired simulations. So we understand the importance to provide a method which makes it possible to find the parameters attached to the first four estimated moments as quickly as possible. So, we must trade off between speed and possibilities of the method. The goal of this paper is to provide two new methods which control these first four moments and to compare their speed with that of the already existing methods.

Suggested Citation

  • Pierre-Eric Treyens, 2007. "Two Methods To Generate Centered Distributions Controlling Skewness And Kurtosis Coefficients," Working Papers halshs-00353291, HAL.
    • Handle: RePEc:hal:wpaper:halshs-00353291
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00353291
    as

    Download full text from publisher

    File URL: https://shs.hal.science/halshs-00353291/document
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:halshs-00353291. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.