Multivariate Skew-t Distributions in Econometrics and Environmetrics

Multivariate Skew-t Distributions in Econometrics and Environmetrics

This dissertation is composed of three articles describing novel approaches for analysis and modeling using multivariate skew-normal and skew-t distributions in econometrics and environmetrics. In the first article we introduce the Heckman selection-t model. Sample selection arises often as a result...

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Bibliographic Details
Main Author: Marchenko, Yulia V.
Other Authors: Genton, Marc G.
Format: Others
Language:en_US
Published: 2012
Subjects:
skewness
heavy tails
sample selection
nonrandom sampling
robustness
software
skew-normal
skew-t
skew-elliptical
log-skew-normal
log-skew-t
log-skew-elliptical
Heckman model
selection-t model
Stata
precipitation
ambulatory expenditures
extended skew-normal
extended skew-t
extended skew-elliptical
Online Access:http://hdl.handle.net/1969.1/ETD-TAMU-2010-12-8764

Internet

http://hdl.handle.net/1969.1/ETD-TAMU-2010-12-8764

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