Heavy tails of OLS

DOI10.1016/j.jeconom.2012.08.015zbMath1443.62494OpenAlexW1979691880MaRDI QIDQ528137

Thomas Mikosch, Casper G. de Vries

Publication date: 12 May 2017

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001996

zbMATH Keywords

heavy tailsOLS estimator distributionsmall sample inference

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Whittle parameter estimation for vector ARMA models with heavy-tailed noises, TAIL DEPENDENCE OF OLS, Time series estimation of the dynamic effects of disaster-type shocks, GTL regression: a linear model with skewed and thick-tailed disturbances

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