Econometric Theory

NOTES AND PROBLEMS

FINITE-SAMPLE MOMENTS OF THE COEFFICIENT OF VARIATION

Yong Baoa1 c1

a1 Purdue University

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.

Correspondence

c1 Address correspondence to Yong Bao, Department of Economics, Purdue University, 403 W. State St., West Lafayette, IN 47907, USA; e-mail: ybao@purdue.edu.

Footnotes

The author is grateful to the co-editor Paolo Paruolo and two anonymous referees for helpful comments. The author is solely responsible for any remaining errors.

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