Heavy tails of OLS

DOI10.1016/J.JECONOM.2012.08.015zbMATH Open1443.62494OpenAlexW1979691880MaRDI QIDQ528137FDOQ528137

T. 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

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zbMATH Keywords

heavy tailsOLS estimator distributionsmall sample inference

Mathematics Subject Classification ID

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

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• One-step R-estimation in linear models with stable errors
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• Linear and nonlinear regression with stable errors

Cited In (6)

• Tail behavior of the least-squares estimator
• Whittle parameter estimation for vector ARMA models with heavy-tailed noises
• GTL regression: a linear model with skewed and thick-tailed disturbances
• TAIL DEPENDENCE OF OLS
• Time series estimation of the dynamic effects of disaster-type shocks
• Robust inference in AR-G/GARCH models under model uncertainty

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