A New Skew-normal Model for the Application-oriented Skew-t Model

Authors

  • John T. Chen

Keywords:

Skew normal model, Student-t principle, Excess kurtosis, Asymmetry

Abstract

Among many papers of Professor Clive W. J. Granger, the one that strongly draws my attention is his work (C. Granger, T. Terasvirta and A. Patton, Journal of Econometrics, 2006) using the skew-t model to analyze common factors in conditional distribution for bivariate time series. Different from many existing versions of theory-oriented skew-t models, the skew-t model that Professor Granger and his collaborators used was directly motivated by applications for the analysis of economics data. This application-oriented skew-t model has discernible features on enabling model exibility and keeping standardizing conditions in practice (Hansen, International Economic Review, 1994). On the other hand, it is awkward to call it a skew-t model if the corresponding skew normal does not exist. Thus the skew-t model is in need of a proper statistical justification to solidate its theoretical foundation. In this paper, we initiate a new skew normal family that leads to the skew-t model in Hansen (1994) and Granger et al. (2006).

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Published

2010-05-22

Issue

Vol. 3 No. 3 (2010): Special Issue on Granger Econometrics and Statistical Modeling

Section

Special Issue on Granger Econometrics and Statistical Modeling

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How to Cite

A New Skew-normal Model for the Application-oriented Skew-t Model. (2010). European Journal of Pure and Applied Mathematics, 3(3), 531-540. https://www.ejpam.com/index.php/ejpam/article/view/802