homokurtosis

English

Etymology

From homo- +‎ kurtosis.

Noun

homokurtosis (plural homokurtoses)

1. (statistics) The property of a series of random variables of every variable having the same finite kurtosis
   • 2010, Jeffrey M. Wooldridge, Econometric Analysis of Cross-Section and Panel Data (2nd ed.), MIT Press

     In terms of the original error $u_{i}$, this assumption implies that $\mathrm {E} (u_{i}^{4}\mid \mathbf {x} _{i})={\mathit {constant}}\equiv \kappa ^{2}$ under $H_{0}$. This is called the homokurtosis (constant conditional fourth moment) assumption. Homokurtosis always holds when $u$ is independent of $\mathbf {x}$, but there are conditional distributions for which $\mathrm {E} (u\mid \mathbf {x} )=0$ and $\mathrm {Var} (u\mid \mathbf {x} )=\sigma ^{2}$ but $\mathrm {E} (u^{4}\mid \mathbf {x} )=0$ depends on $\mathbf {x}$.

Antonyms

• heterokurtosis

Related terms

• homoscedasticity

Translations

Translations

• German: Homokurtose f, Homokurtosis f