A note on testing for skewness persistence

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

This paper shows that the tests of skewness persistence considered by Muralidhar (1993) far exceed the true Type I error. That is, the probabilities of detecting an increase (decrease) in skewness from one time period to another when in fact there is no change are inflated. Consequently, the higher power achieved by these tests comes at the cost of a higher than specified level of Type I error. We propose a new test which maintains the specified Type I error levels. Additionally, the power of this test for lognormal distributions is reported.

Original languageEnglish
Pages (from-to)138-141
Number of pages4
JournalManagement Science
Volume42
Issue number1
StatePublished - Jan 1996
Externally publishedYes

Fingerprint

Testing
Persistence
Skewness
Type I error
Log normal distribution

All Science Journal Classification (ASJC) codes

  • Management of Technology and Innovation
  • Strategy and Management
  • Management Science and Operations Research

Cite this

A note on testing for skewness persistence. / Nath, Ravinder.

In: Management Science, Vol. 42, No. 1, 01.1996, p. 138-141.

Research output: Contribution to journalArticle

@article{986d05880867483b83a52c9600e87417,
title = "A note on testing for skewness persistence",
abstract = "This paper shows that the tests of skewness persistence considered by Muralidhar (1993) far exceed the true Type I error. That is, the probabilities of detecting an increase (decrease) in skewness from one time period to another when in fact there is no change are inflated. Consequently, the higher power achieved by these tests comes at the cost of a higher than specified level of Type I error. We propose a new test which maintains the specified Type I error levels. Additionally, the power of this test for lognormal distributions is reported.",
author = "Ravinder Nath",
year = "1996",
month = "1",
language = "English",
volume = "42",
pages = "138--141",
journal = "Management Science",
issn = "0025-1909",
publisher = "INFORMS Inst.for Operations Res.and the Management Sciences",
number = "1",

}

TY - JOUR

T1 - A note on testing for skewness persistence

AU - Nath, Ravinder

PY - 1996/1

Y1 - 1996/1

N2 - This paper shows that the tests of skewness persistence considered by Muralidhar (1993) far exceed the true Type I error. That is, the probabilities of detecting an increase (decrease) in skewness from one time period to another when in fact there is no change are inflated. Consequently, the higher power achieved by these tests comes at the cost of a higher than specified level of Type I error. We propose a new test which maintains the specified Type I error levels. Additionally, the power of this test for lognormal distributions is reported.

AB - This paper shows that the tests of skewness persistence considered by Muralidhar (1993) far exceed the true Type I error. That is, the probabilities of detecting an increase (decrease) in skewness from one time period to another when in fact there is no change are inflated. Consequently, the higher power achieved by these tests comes at the cost of a higher than specified level of Type I error. We propose a new test which maintains the specified Type I error levels. Additionally, the power of this test for lognormal distributions is reported.

UR - http://www.scopus.com/inward/record.url?scp=4243138332&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=4243138332&partnerID=8YFLogxK

M3 - Article

VL - 42

SP - 138

EP - 141

JO - Management Science

JF - Management Science

SN - 0025-1909

IS - 1

ER -