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Linear Regression with Non-Normal Error Terms

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  • Zeckhauser, Richard
  • Thompson, Mark

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  • Zeckhauser, Richard & Thompson, Mark, 1970. "Linear Regression with Non-Normal Error Terms," The Review of Economics and Statistics, MIT Press, vol. 52(3), pages 280-286, August.
    • Handle: RePEc:tpr:restat:v:52:y:1970:i:3:p:280-86
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    Cited by:

    1. Du, Jiang & Sun, Zhimeng & Xie, Tianfa, 2013. "M-estimation for the partially linear regression model under monotonic constraints," Statistics & Probability Letters, Elsevier, vol. 83(5), pages 1353-1363.
    2. Tumlinson, Samuel E., 2015. "On the non-existence of maximum likelihood estimates for the extended exponential power distribution and its generalizations," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 111-114.
    3. Freeman, Mark C. & Wagner, Gernot & Zeckhauser, Richard J., 2015. "Climate Sensitivity Uncertainty: When Is Good News Bad?," Working Paper Series rwp15-002, Harvard University, John F. Kennedy School of Government.
    4. Bao, Te & Diks, Cees & Li, Hao, 2018. "A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction," Economic Modelling, Elsevier, vol. 68(C), pages 611-621.
    5. Ioannidis, Filippos & Kosmidou, Kyriaki & Savva, Christos & Theodossiou, Panayiotis, 2021. "Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components," Energy Economics, Elsevier, vol. 95(C).
    6. Tomasz Kozubowski & Saralees Nadarajah, 2010. "Multitude of Laplace distributions," Statistical Papers, Springer, vol. 51(1), pages 127-148, January.
    7. Zhou, Zhou & Wu, Wei Biao, 2011. "On linear models with long memory and heavy-tailed errors," Journal of Multivariate Analysis, Elsevier, vol. 102(2), pages 349-362, February.
    8. A. Asrat Atsedeweyn & K. Srinivasa Rao, 2014. "Linear regression model with new symmetric distributed errors," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(2), pages 364-381, February.
    9. Zeckhauser Richard, 2006. "Investing in the Unknown and Unknowable," Capitalism and Society, De Gruyter, vol. 1(2), pages 1-41, September.
    10. Majumdar, Sumit K., 2000. "With a little help from my friends? Cross-subsidy and installed-base quality in the U.S. telecommunications industry," International Journal of Industrial Organization, Elsevier, vol. 18(3), pages 445-470, April.
    11. James Hansen & James McDonald & Panayiotis Theodossiou & Brad Larsen, 2010. "Partially Adaptive Econometric Methods For Regression and Classification," Computational Economics, Springer;Society for Computational Economics, vol. 36(2), pages 153-169, August.
    12. Sumit Majumdar, 1996. "Bandwagon Influences And Installed-Base Conversion In U.S. Telecommunications," Economics of Innovation and New Technology, Taylor & Francis Journals, vol. 4(2), pages 113-122.
    13. Majumdar, Sumit K., 2000. "Sluggish giants, sticky cultures, and dynamic capability transformation," Journal of Business Venturing, Elsevier, vol. 15(1), pages 59-78, January.
    14. Callealta Barroso, Francisco Javier & García-Pérez, Carmelo & Prieto-Alaiz, Mercedes, 2020. "Modelling income distribution using the log Student’s t distribution: New evidence for European Union countries," Economic Modelling, Elsevier, vol. 89(C), pages 512-522.
    15. Du, Jiang & Zhang, Zhongzhan & Xie, Tianfa, 2018. "A weighted M-estimator for linear regression models with randomly truncated data," Statistics & Probability Letters, Elsevier, vol. 138(C), pages 90-94.
    16. Hans Dillen & Bo Stoltz, 1999. "The distribution of stock market returns and the market model," Finnish Economic Papers, Finnish Economic Association, vol. 12(1), pages 41-56, Spring.
    17. Hansen, James V. & McDonald, James B. & Turley, Robert S., 2006. "Partially adaptive robust estimation of regression models and applications," European Journal of Operational Research, Elsevier, vol. 170(1), pages 132-143, April.

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