Too many skew normal distributions? The practitioner’s perspective

Wojciech Charemza, Carlos Díaz () and Svetlana Makarova

No 13/07, Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester

Abstract: The paper tackles the issue of possible misspecification in fitting skew normal distributions to empirical data. It is shown, through numerical experiments, that it is easy to choose a distribution which is different from this which actually generated the sample, if the minimum distance criterion is used. It is suggested that, in case of similar values of distance measures obtained for different distributions, the choice should be made on the grounds of parameters’ interpretation rather than the goodness of fit. This is supported by empirical evidence of fitting different skew normal distributions to the estimated monthly inflation uncertainties for Belarus, Poland, Russia and Ukraine.

Keywords: skew normal distribution; simulated minimum distance estimators; inflation uncertainties; monetary policy in Eastern Europe (search for similar items in EconPapers)
JEL-codes: C15 C46 E37 E52 (search for similar items in EconPapers)
Date: 2013-05
New Economics Papers: this item is included in nep-cis, nep-dcm and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Choosing the Right Skew Normal Distribution: the Macroeconomist’ Dilemma (2015)
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