Homokurtosis

English

Template:Lb 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 $E (u_{i}^{4} ∣ 𝐱_{i}) = 𝑐 𝑜 𝑛 𝑠 𝑡 𝑎 𝑛 𝑡 \equiv κ^{2}$ under $H_{0}$ . This is called the homokurtosis (constant conditional fourth moment) assumption. Homokurtosis always holds when $u$ is independent of $𝐱$ , but there are conditional distributions for which $E (u ∣ 𝐱) = 0$ and $V a r (u ∣ 𝐱) = σ^{2}$ but $E (u^{4} ∣ 𝐱) = 0$ depends on $𝐱$ .