On the properties of the coefficient of determination in regression models with infinite variance variables

DOI10.1016/j.jeconom.2014.02.004zbMath1311.62098OpenAlexW2044242125MaRDI QIDQ2451781

Mico Loretan, Jeong-Ryeol Kurz-Kim

Publication date: 4 June 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.02.004

zbMATH Keywords

Monte Carlo simulationsignal to noise ratioCAPMcoefficient of determination\(\alpha\)-stable distributionsdensity transformation theoremFama-MacBeth regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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