Publication Type
Journal Article
Version
publishedVersion
Publication Date
3-1987
Abstract
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.
Discipline
Econometrics
Research Areas
Econometrics
Publication
Journal of Econometrics
Volume
34
Issue
3
First Page
349
Last Page
354
ISSN
0304-4076
Identifier
10.1016/0304-4076(87)90017-0
Publisher
Elsevier
Citation
TSE, Yiu Kuen.
A note on Sargan densities. (1987). Journal of Econometrics. 34, (3), 349-354.
Available at: https://ink.library.smu.edu.sg/soe_research/275
Copyright Owner and License
Publisher
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/0304-4076(87)90017-0