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conditional skewness and kurtosis
Posted: Wed Mar 18, 2009 6:23 am
by doaa
hi
Does anyone know how to gener a series of conditional skewness and kurtosis resulting from a regression?
Re: conditional skewness and kurtosis
Posted: Wed Mar 18, 2009 8:02 am
by EViews Gareth
I'm not sure I understand what you mean by this.
Re: conditional skewness and kurtosis
Posted: Wed Mar 18, 2009 9:28 am
by doaa
sorry about confusion. My question now is that I want to generate skewness series for the standardized residuals of a regression (eta). the formula is S(t) = Et-1(eta(t)^3)
where Et-1 is the conditional expectation at t-1 and S(t) is the conditional skewness at time t.
to be clear, i'd like to know how to write Et-1 in eviews