Asymptotic distribution of linear unbiased estimators in the presence of heavy-tailed stochastic regressors and residuals
AbstractUnder the symmetric á-stable distributional assumption for the disturbances, Blattberg et al (1971) consider unbiased linear estimators for a regression model with non-stochastic regressors. We consider both the rate of convergence to the true value and the asymptotic distribution of the normalized error of the linear unbiased estimators. By doing this, we allow the regressors to be stochastic and disturbances to be heavy-tailed with either finite or infinite variances, where the tail-thickness parameters of the regressors and disturbances may be different. --
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Bibliographic InfoPaper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2005,21.
Date of creation: 2005
Date of revision:
Asymptotic distribution; rate of convergence; stochastic regressor; stable non-Gaussian; finite or infinite variance; heavy tails;
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- Falko Fecht & Kevin Huang, 2004.
"Financial intermediaries, markets, and growth,"
Econometric Society 2004 North American Summer Meetings
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- Falko Fecht & Kevin X. D. Huang & Antoine Martin, 2004. "Financial intermediaries, markets, and growth," Working Papers 04-24, Federal Reserve Bank of Philadelphia.
- Fecht, Falko & Huang, Kevin & Martin, Antoine, 2005. "Financial intermediaries, markets and growth," Discussion Paper Series 1: Economic Studies 2005,03, Deutsche Bundesbank, Research Centre.
- Hamerle, Alfred & Liebig, Thilo & Scheule, Harald, 2004. "Forecasting Credit Portfolio Risk," Discussion Paper Series 2: Banking and Financial Studies 2004,01, Deutsche Bundesbank, Research Centre.
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