Heavy tails of OLS

Journal of Econometrics

Volumn 172, Issue 2, 2013, Pages 205-221

  Mikosch, Thomas ^a   De Vries, Casper G ^b  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Heavy tails; OLS estimator distribution; Small sample inference

Indexed keywords

ESTIMATION; REGRESSION ANALYSIS; SAMPLING;

FINANCIAL DATA; FINITE SAMPLES; HEAVY-TAILS; NOISE DISTRIBUTION; OLS ESTIMATOR DISTRIBUTION; POWER-LAW BEHAVIOR; REGRESSION ESTIMATORS; SMALL-SAMPLE INFERENCE; TAIL PROBABILITY; THEORETICAL FORMULA; YIELD CURVE;

PROBABILITY DISTRIBUTIONS;

EID: 84872006266     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.08.015     Document Type: Conference Paper

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