SKEWREG: Stata module to estimate skewness and kurtosis regressions

Qiang Chen

Statistical Software Components from Boston College Department of Economics

Abstract: skewreg performs skewness regression for cross-sectional or time-series data as defined in Chen and Xiao (2020), which quantifies the effects of covariates on quantile-based measure of skewness of the conditional distribution. skewreg calls sqreg for simultaneous quantile regression, which reports bootstrap standard errors. skewreg then use margins to computes average marginal effects (AME), which are parameters of interest. kurtosisreg performs kurtosis regression for cross-sectional or time-series data as defined in Chen and Xiao (2020), which quantifies the effects of covariates on quantile-based measure of kurtosis of the conditional distribution. kurtosisreg calls sqreg for simultaneous quantile regression, which reports bootstrap standard errors. kurtosisreg then use margins to computes average marginal effects (AME), which are parameters of interest.

Language: Stata
Requires: Stata version 16
Keywords: skewness; kurtosis; quantile regression (search for similar items in EconPapers)
Date: 2020-07-24, Revised 2024-01-01
Note: This module should be installed from within Stata by typing "ssc install skewreg". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/s/skewreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/skewreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/k/kurtosisreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/k/kurtosisreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/spreadreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/spreadreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/census80.dta sample data file (application/x-stata)

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