A NOTE ON SARGAN DENSITIES

Authors
HADRI K
Citation
K. Hadri, A NOTE ON SARGAN DENSITIES, Journal of econometrics, 71(1-2), 1996, pp. 285-290
Citations number
6
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Journal of econometrics → ACNP
ISSN journal
03044076
Volume
71
Issue
1-2
Year of publication
1996
Pages
285 - 290
Database
ISI
SICI code
0304-4076(1996)71:1-2<285:ANOSD>2.0.ZU;2-0
Abstract
This note reexamines the general class of Sargan densities analyzed by Goldfeld and Quandt (1981), Kafei and Schmidt (1985), and others in t he context of approximating normal densities in certain econometric mo dels. It suggests a third-order Sargan density which complies with the Goldfeld and Quandt criteria, is unimodal, and is the best approximat ion to the normal for orders less than or equal to 3. Some errors in G oldfeld and Quandt paper are corrected.