A Note on the Moments of the Skew-Normal Distribution

Markus Haas

Economics Bulletin, 2012, vol. 32, issue 4, 3306-3312

Abstract: Azzalini's skew-normal distribution is an attractive tool for modeling the skewness observed in many economic and financial variables. Formulas for the odd moments of the skew-normal distribution have been given by Henze (1986) and, more recently, Martinez et al. (2008). This note provides a rather straightforward alternative approach to the calculation of the odd moments of the skew-normal distribution. It exploits a striking similarity between the density and the moment generating function of a skew-normal variable and leads to an attractive expression for the odd moments.

Keywords: Moments; skewness; skew-normal distribution (search for similar items in EconPapers)
JEL-codes: C1 C4 (search for similar items in EconPapers)
Date: 2012-12-03
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Citations: View citations in EconPapers (1)

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