Infinite-Variance Stable Errors and Robust Estimation Procedures
für 53.10€ kaufen ··· 9783846547328 ··· 1036188523 ··· Gaussian normal error assumption is a basic assumption for co-integration tests. Ordinary Least Squares (OLS) based regression techniques are also widely used together with the normality assumption. To consider the heavy-tailed structure observed in many economic and financial time series, new residual-based co-integration tests are developed and analyzed via Monte Carlo simulations. The new tests are based on Least Absolute Deviation (LAD) regressions, whose error structure follows the infinite-variance stable distribution. Empirical applications on Forward Rate Unbiasedness Hypothesis (FRUH) and Purchasing Power Parity (PPP) verify the need to make use of the infinite-variance stable distributions as the error distributions. Hersteller: LAP Lambert Academic Publishing Marke: LAP Lambert Academic Publishing EAN: 9783846547328 Kat: Hardcover/Sozialwissenschaften, Recht, Wirtschaft/Wirtschaft Lieferzeit: Sofort lieferbar Versandkosten: Ab 20¤ Versandkostenfrei in Deutschland Icon: https://www.inforius-bilder.de/bild/?I=81MVCS3905JfgWKCPmtYCTi%2FLfbcQYfdVIIVmc47KPs%3D Bild:
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