A note on Sargan densities
This note reexamines the general class of Sargan densities analyzed by Goldfeld and Quandt (1981), Kafei and Schmidt (1985), and others in the context of approximating normal densities in certain econometric models. It suggests a third-order Sargan density which complies with the Goldfeld and Quandt...
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Institutional Knowledge at Singapore Management University
1987
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sg-smu-ink.soe_research-12742023-11-09T01:26:47Z A note on Sargan densities TSE, Yiu Kuen This note reexamines the general class of Sargan densities analyzed by Goldfeld and Quandt (1981), Kafei and Schmidt (1985), and others in the context of approximating normal densities in certain econometric models. It suggests a third-order Sargan density which complies with the Goldfeld and Quandt criteria, is unimodal, and is the best approximation to the normal for orders less than or equal to 3. Some errors in Goldfeld and Quandt paper are corrected. 1987-03-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/275 info:doi/10.1016/0304-4076(87)90017-0 https://ink.library.smu.edu.sg/context/soe_research/article/1274/viewcontent/1_s2.0_0304407687900170_main_pv.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Econometrics |
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Econometrics TSE, Yiu Kuen A note on Sargan densities |
| description |
This note reexamines the general class of Sargan densities analyzed by Goldfeld and Quandt (1981), Kafei and Schmidt (1985), and others in the context of approximating normal densities in certain econometric models. It suggests a third-order Sargan density which complies with the Goldfeld and Quandt criteria, is unimodal, and is the best approximation to the normal for orders less than or equal to 3. Some errors in Goldfeld and Quandt paper are corrected. |
| format |
text |
| author |
TSE, Yiu Kuen |
| author_facet |
TSE, Yiu Kuen |
| author_sort |
TSE, Yiu Kuen |
| title |
A note on Sargan densities |
| title_short |
A note on Sargan densities |
| title_full |
A note on Sargan densities |
| title_fullStr |
A note on Sargan densities |
| title_full_unstemmed |
A note on Sargan densities |
| title_sort |
note on sargan densities |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1987 |
| url |
https://ink.library.smu.edu.sg/soe_research/275 https://ink.library.smu.edu.sg/context/soe_research/article/1274/viewcontent/1_s2.0_0304407687900170_main_pv.pdf |
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