The skewness of a random variable is skew 3 3 where 3 is the third central

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The skewness of a random variable is skew Æ

¹3

¾3 where ¹3 is the third central moment.

(a) Propose a plug-in moment estimatorskew for skew.

(b) Find the variance of the asymptotic distribution of p n ³
skew¡skew ´
.

(c) Propose an estimator of the asymptotic variance ofskew.

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