Robust Measures of Skewness and Kurtosis for Macroeconomic and Financial Time Series

53 Pages Posted: 9 May 2019

See all articles by Andrea Bastianin

Andrea Bastianin

Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS); Università degli Studi di Milano-Bicocca - Center for European Studies (CefES)

Date Written: May 9, 2019

Abstract

The sample skewness and kurtosis of macroeconomic and financial time series are routinely scrutinized in the early stages of model-building and are often the central topic of studies in economics and finance. Notwithstanding the availability of several robust estimators, most scholars in economics rely on method-of-moments estimation that is known to be very sensitive to outliers. We carry out an extensive Monte Carlo analysis to compare the bias and root mean squared error of twelve different estimators of skewness and kurtosis. We consider nine statistical distributions that approximate the range of data generating processes of many macroeconomic and financial time series. Both in independently and identically distributed samples and in data generating processes featuring serial correlation L-moments and trimmed L-moments estimators are particularly resistant to outliers and deliver the lowest root mean squared error. The application to 128 macroeconomic and financial time series sourced from a large, monthly frequency, database (i.e. the FRED-MD of McCracken and Ng, 2016) confirms the findings of the simulation study.

Keywords: FRED-MD; kurtosis; L-moments; outlier; robust statistics; skewness

JEL Classification: C22, C46, C52, C55, C58

Suggested Citation

Bastianin, Andrea, Robust Measures of Skewness and Kurtosis for Macroeconomic and Financial Time Series (May 9, 2019). University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 408, May 2019. Available at SSRN: https://ssrn.com/abstract=3385397 or http://dx.doi.org/10.2139/ssrn.3385397

Andrea Bastianin (Contact Author)

Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) ( email )

Piazza dell'Ateneo Nuovo, 1
Milan, 20126
Italy

Università degli Studi di Milano-Bicocca - Center for European Studies (CefES)

U6 Building
Viale Piero e Alberto Pirelli, 22
Milano, 20126
Italy

Register to save articles to
your library

Register

Paper statistics

Downloads
34
Abstract Views
136
PlumX Metrics