homokurtosis

From homo- +‎ kurtosis.

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

• heterokurtosis

• homoscedasticity