Bimodal t-ratios: the impact of thick tails on inference
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Publication:3004026
DOI10.1111/j.1368-423X.2010.00315.xzbMath1230.62039WikidataQ56455219 ScholiaQ56455219MaRDI QIDQ3004026
Peter C. B. Phillips, Vassilis Argyrou Hajivassiliou, Carlo V. Fiorio
Publication date: 31 May 2011
Published in: Econometrics Journal (Search for Journal in Brave)
Applications of statistics to economics (62P20) Density estimation (62G07) Statistics of extreme values; tail inference (62G32)
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ESTIMATION AND INFERENCE FOR MOMENTS OF RATIOS WITH ROBUSTNESS AGAINST LARGE TRIMMING BIAS ⋮ Power and thick tails: an ARCH process example with extreme value as test statistic ⋮ Robust inference on correlation under general heterogeneity ⋮ On the properties of the coefficient of determination in regression models with infinite variance variables ⋮ Bimodal t-ratios: the impact of thick tails on inference ⋮ A PARAMETRIC BOOTSTRAP FOR HEAVY-TAILED DISTRIBUTIONS ⋮ Reduced forms and weak instrumentation
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