Moments of truncated t and F distributions

Detalhes bibliográficos
Autor(a) principal: Nadarajah, Saralees
Data de Publicação: 2008
Outros Autores: Kotz, Samuel
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/15563
Resumo: Truncated distributions commonly arise in economics and related areas, see, for example, Lee (Econ Lett 3:165–169, 1979), Lien (Econ Lett 19:243–247, 1985; Econ Lett 20:45–47, 1986), Burdett (Econ Lett 52:263–267, 1996), Sercu (Insur: Math and Econ 20:79–95, 1997), Abadir and Magdalinos (Econom Theory 18:1276–1287, 2002), and Horrace (J Econom 126:335–354, 2005). In this note, we consider the most commonly encountered truncated distributions with heavy tails: the truncated t distribution and the truncated F distribution. For each of these distributions, we derive explicit expressions for the moments and estimation procedures by the method of moments and the method of maximum likelihood. An application is illustrated to a popular data set in the econometric literature.
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spelling Moments of truncated t and F distributionsMomentsTruncated F distributionTruncated regressionTruncated t distributionTruncated distributions commonly arise in economics and related areas, see, for example, Lee (Econ Lett 3:165–169, 1979), Lien (Econ Lett 19:243–247, 1985; Econ Lett 20:45–47, 1986), Burdett (Econ Lett 52:263–267, 1996), Sercu (Insur: Math and Econ 20:79–95, 1997), Abadir and Magdalinos (Econom Theory 18:1276–1287, 2002), and Horrace (J Econom 126:335–354, 2005). In this note, we consider the most commonly encountered truncated distributions with heavy tails: the truncated t distribution and the truncated F distribution. For each of these distributions, we derive explicit expressions for the moments and estimation procedures by the method of moments and the method of maximum likelihood. An application is illustrated to a popular data set in the econometric literature.Springer VerlagRepositório da Universidade de LisboaNadarajah, SaraleesKotz, Samuel2018-06-06T09:13:21Z2008-042008-04-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/15563engNadarajah, Saralees e Samuel Kotz (2008). "Moments of truncated t and F distributions". Portuguese Economic Journal, 7(1):63-731617-982X (print)10.1007/s10258-007-0021-1metadata only accessinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:45:30Zoai:www.repository.utl.pt:10400.5/15563Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:01:10.615612Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Moments of truncated t and F distributions
title Moments of truncated t and F distributions
spellingShingle Moments of truncated t and F distributions
Nadarajah, Saralees
Moments
Truncated F distribution
Truncated regression
Truncated t distribution
title_short Moments of truncated t and F distributions
title_full Moments of truncated t and F distributions
title_fullStr Moments of truncated t and F distributions
title_full_unstemmed Moments of truncated t and F distributions
title_sort Moments of truncated t and F distributions
author Nadarajah, Saralees
author_facet Nadarajah, Saralees
Kotz, Samuel
author_role author
author2 Kotz, Samuel
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Nadarajah, Saralees
Kotz, Samuel
dc.subject.por.fl_str_mv Moments
Truncated F distribution
Truncated regression
Truncated t distribution
topic Moments
Truncated F distribution
Truncated regression
Truncated t distribution
description Truncated distributions commonly arise in economics and related areas, see, for example, Lee (Econ Lett 3:165–169, 1979), Lien (Econ Lett 19:243–247, 1985; Econ Lett 20:45–47, 1986), Burdett (Econ Lett 52:263–267, 1996), Sercu (Insur: Math and Econ 20:79–95, 1997), Abadir and Magdalinos (Econom Theory 18:1276–1287, 2002), and Horrace (J Econom 126:335–354, 2005). In this note, we consider the most commonly encountered truncated distributions with heavy tails: the truncated t distribution and the truncated F distribution. For each of these distributions, we derive explicit expressions for the moments and estimation procedures by the method of moments and the method of maximum likelihood. An application is illustrated to a popular data set in the econometric literature.
publishDate 2008
dc.date.none.fl_str_mv 2008-04
2008-04-01T00:00:00Z
2018-06-06T09:13:21Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/15563
url http://hdl.handle.net/10400.5/15563
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Nadarajah, Saralees e Samuel Kotz (2008). "Moments of truncated t and F distributions". Portuguese Economic Journal, 7(1):63-73
1617-982X (print)
10.1007/s10258-007-0021-1
dc.rights.driver.fl_str_mv metadata only access
info:eu-repo/semantics/openAccess
rights_invalid_str_mv metadata only access
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Springer Verlag
publisher.none.fl_str_mv Springer Verlag
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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