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FINITE-SAMPLE MOMENTS OF THE COEFFICIENT OF VARIATION

  • Yong Bao (a1)
Abstract

We study the finite-sample bias and mean squared error, when properly defined, of the sample coefficient of variation under a general distribution. We employ a Nagar-type expansion and use moments of quadratic forms to derive the results. We find that the approximate bias depends on not only the skewness but also the kurtosis of the distribution, whereas the approximate mean squared error depends on the cumulants up to order 6.

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*Address correspondence to Yong Bao, Department of Economics, Purdue University, 403 W. State St., West Lafayette, IN 47907, USA; e-mail: ybao@purdue.edu.
References
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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
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