Heavy tails of OLS

Thomas Valentin Mikosch; Casper de Vries

doi:10.1016/j.jeconom.2012.08.015

Heavy tails of OLS

Authors:

Mikosch, Thomas Valentin ;
Close
0000-0003-3091-6661
Department of Mathematical Sciences, Faculty of Science, Københavns Universitet
de Vries, Casper
Close
Erasmus University Rotterdam

DOI:

10.1016/j.jeconom.2012.08.015

Abstract:

Suppose the tails of the noise distribution in a regression exhibit power law behavior. Then the distribution of the OLS regression estimator inherits this tail behavior. This is relevant for regressions involving financial data. We derive explicit finite sample expressions for the tail probabilities of the distribution of the OLS estimator. These are useful for inference. Simulations for medium sized samples reveal considerable deviations of the coefficient estimates from their true values, in line with our theoretical formulas. The formulas provide a benchmark for judging the observed highly variable cross country estimates of the expectations coefficient in yield curve regressions.

Type:

Journal article

Language:

English

Published in:

Journal of Econometrics, 2013, Vol 172, Issue 2, p. 205-221

Main Research Area:

Science/technology

Publication Status:

Published

Review type:

Peer Review

Submission year:

2013

Scientific Level:

Scientific

ID:

234809356

Heavy tails of OLS

Full text access

On-site access

At institution

Metrics

Example	Finds records
water{}	containing the word "water".
water supplies"{}"	containing the phrase "water supplies".
author:"Doe, John"author:"{}"	containing the prase "Doe, John" in the author field.
title:IEEEtitle:{}	containing the word "IEEE" in the title field.
Need more help?	Advanced search tutorial