A matrix formula for the skewness of maximum likelihood estimators

Abstract: We give a general matrix formula for computing the second-order skewness of maximum likelihood estimators. The formula was firstly presented in a tensorial version by . Our matrix formulation has numerical advantages, since it requires only simple operations on matrices and vectors. We apply the second-order skewness formula to a normal model with a generalized parametrization and to an ARMA model. [Copyright &y& Elsevier]