Are residual economic relationships normally distributed? Testing an assumption of neoclassical economics
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References listed on IDEAS
- Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, vol. 71, pages 421-421.
- McCulloch, J Huston, 1978. "Continuous Time Processes with Stable Increments," The Journal of Business, University of Chicago Press, vol. 51(4), pages 601-619, October.
- Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
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KeywordsStable Paretian hypothesis; Chaos theory; Time series forecasting; B53; C01; C46; C82; G1;
- B53 - Schools of Economic Thought and Methodology - - Current Heterodox Approaches - - - Austrian
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
- G1 - Financial Economics - - General Financial Markets
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