Infinite-Variance Stable Errors and Robust Estimation Procedures : A Monte Carlo Study with Empirical Applications

Language: English

Published by LAP LAMBERT Academic Publishing, 2011

3846547328 / 9783846547328

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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nach der Bestellung gedruckt Neuware - Printed after ordering - 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.

Seller Inventory # 9783846547328

Title
Infinite-Variance Stable Errors and Robust Estimation Procedures : A Monte Carlo Study with Empirical Applications
Author
Fatma Özgü Sertta¿
Publisher
LAP LAMBERT Academic Publishing
Publication year
2011
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3846547328
ISBN 13
9783846547328
Item weight
244 grams
Dimensions
220x150x10 mm

AHA-BUCH GmbH

Einbeck, Germany

5-star seller

AbeBooks seller since August 14, 2006

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