Linear and nonlinear regression with stable errors

Journal of Econometrics

Volumn 172, Issue 2, 2013, Pages 186-194

  Nolan, John P ^a   Ojeda Revah, Diana ^a  

^a AMERICAN UNIVERSITY   (United States)

Author keywords

Heavy tailed regression; Score function; Stable distributions

Indexed keywords

FISHER INFORMATION MATRIX; REGRESSION ANALYSIS;

CONFIDENCE INTERVAL; ERROR DISTRIBUTIONS; ERROR TERMS; FINANCIAL DATA; HEAVY-TAILED; NON-HOMOGENEOUS; NON-LINEAR MODEL; NON-LINEAR REGRESSION; REGRESSION COEFFICIENT; SCORE FUNCTION; STABLE DISTRIBUTIONS; STABLE ERROR;

ERRORS;

EID: 84872036172     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.08.008     Document Type: Conference Paper

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