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Inconsistency of estimate of the degree of freedom of multivariate student-t disturbances in linear regression models

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  • Wang, Song-Gui
  • Ip, Wai-Cheung

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  • Wang, Song-Gui & Ip, Wai-Cheung, 2003. "Inconsistency of estimate of the degree of freedom of multivariate student-t disturbances in linear regression models," Economics Letters, Elsevier, vol. 80(3), pages 383-389, September.
    • Handle: RePEc:eee:ecolet:v:80:y:2003:i:3:p:383-389
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    References listed on IDEAS

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    1. Giles, Judith A., 1991. "Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances," Journal of Econometrics, Elsevier, vol. 50(3), pages 377-398, December.
    2. Praetz, Peter D, 1972. "The Distribution of Share Price Changes," The Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January.
    3. Singh, Radhey S., 1988. "Estimation of error variance in linear regression models with errors having multivariate student-t distribution with unknown degrees of freedom," Economics Letters, Elsevier, vol. 27(1), pages 47-53.
    4. Geweke, J, 1993. "Bayesian Treatment of the Independent Student- t Linear Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 19-40, Suppl. De.
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    Cited by:

    1. Maria S. Heracleous, 2007. "Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue," Economics Working Papers ECO2007/60, European University Institute.

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