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FINITE-SAMPLE MOMENTS OF THE COEFFICIENT OF VARIATION

Published online by Cambridge University Press:  01 February 2009

Yong Bao
Yong Bao*
Affiliation:
Purdue University
*
*Address correspondence to Yong Bao, Department of Economics, Purdue University, 403 W. State St., West Lafayette, IN 47907, USA; e-mail: [email protected].
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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.

Type
NOTES AND PROBLEMS
Information
Econometric Theory , Volume 25 , Issue 1 , February 2009 , pp. 291 - 297
Copyright
Copyright © Cambridge University Press 2009

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