Parametric models for partially adaptive estimation with skewed and leptokurtic residuals

DOI10.1016/0165-1765(91)90222-7zbMath0800.62389OpenAlexW2083112107MaRDI QIDQ1184756

James B. McDonald

Publication date: 28 June 1992

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(91)90222-7

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items (6)

The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns ⋮ On the performance of the flexible maximum entropy distributions within partially adaptive estimation ⋮ Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection ⋮ An empirical study of the impact of skewness and kurtosis on hedging decisions ⋮ Information matrix for logistic distributions ⋮ Bayesian Inference in Generalized Error and Generalized Student-tRegression Models

Cites Work

• Unnamed Item
• Some Generalized Functions for the Size Distribution of Income
• Discrimination among some parametric models
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• A further look at robustness via Bayes's theorem

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