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Heavy tails of OLS

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Authors:
  • Mikosch, Thomas Valentin ;
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    Orcid logo0000-0003-3091-6661
    Department of Mathematical Sciences, Faculty of Science, Københavns Universitet
  • de Vries, Casper
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    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

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