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Regression With Non-Gaussian Stable Disturbances: Some Sampling Results

In: Perspectives On Promotion And Database Marketing The Collected Works of Robert C Blattberg

Author

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  • ROBERT BLATTBERG

    (University of Chicago, USA)

  • THOMAS SARGENT

    (University of Pennsylvania and NBER, USA)

Abstract

The following sections are included:INTRODUCTIONALTERNATIVE ESTIMATORSSAMPLING RESULTSCONCLUSIONSREFERENCES

Suggested Citation

  • Robert Blattberg & Thomas Sargent, 2010. "Regression With Non-Gaussian Stable Disturbances: Some Sampling Results," World Scientific Book Chapters, in: Greg M Allenby (ed.), Perspectives On Promotion And Database Marketing The Collected Works of Robert C Blattberg, chapter 1, pages 7-16, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814287067_0001
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    Cited by:

    1. Kim, Jihyun & Meddahi, Nour, 2020. "Volatility Regressions with Fat Tails," TSE Working Papers 20-1097, Toulouse School of Economics (TSE).
    2. W. Walls, 2005. "Modeling Movie Success When ‘Nobody Knows Anything’: Conditional Stable-Distribution Analysis Of Film Returns," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 29(3), pages 177-190, August.
    3. Kim, Jihyun & Meddahi, Nour, 2020. "Volatility regressions with fat tails," Journal of Econometrics, Elsevier, vol. 218(2), pages 690-713.
    4. W. D. Walls & Jordi McKenzie, 2020. "Black swan models for the entertainment industry with an application to the movie business," Empirical Economics, Springer, vol. 59(6), pages 3019-3032, December.
    5. Dasgupta, Madhuchhanda & Mishra, SK, 2004. "Least absolute deviation estimation of linear econometric models: A literature review," MPRA Paper 1781, University Library of Munich, Germany.
    6. 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.
    7. Kurz-Kim, Jeong-Ryeol & Loretan, Mico, 2014. "On the properties of the coefficient of determination in regression models with infinite variance variables," Journal of Econometrics, Elsevier, vol. 181(1), pages 15-24.
    8. Ferdos Gorji & Mina Aminghafari, 2020. "Robust Nonparametric Regression for Heavy-Tailed Data," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 25(3), pages 277-291, September.
    9. Jean-Jacques Rosa, 1977. "Réponse aux commentaires de M Mouillart," Revue Économique, Programme National Persée, vol. 28(2), pages 290-295.
    10. Errunza, Vihang & Hogan, Kedreth Jr. & Mazumdar, Sumon C., 1996. "Behavior of international stock return distributions: A simple test of functional form," International Review of Economics & Finance, Elsevier, vol. 5(1), pages 51-61.
    11. Jihyun Kim & Nour Meddahi, 2020. "Volatility Regressions with Fat Tails," Post-Print hal-03142647, HAL.
    12. Jovanovic, Franck & Mantegna, Rosario N. & Schinckus, Christophe, 2019. "When financial economics influences physics: The role of Econophysics," International Review of Financial Analysis, Elsevier, vol. 65(C).
    13. Hallin, Marc & Swan, Yvik & Verdebout, Thomas & Veredas, David, 2013. "One-step R-estimation in linear models with stable errors," Journal of Econometrics, Elsevier, vol. 172(2), pages 195-204.
    14. Majumdar, Sumit K., 2000. "Sluggish giants, sticky cultures, and dynamic capability transformation," Journal of Business Venturing, Elsevier, vol. 15(1), pages 59-78, January.
    15. David Zajdenweber, 1977. "La vérification du CAPM et la théorie des promenades aléatoires. A propos d'une controverse," Revue Économique, Programme National Persée, vol. 28(6), pages 1005-1008.
    16. A. Thavaneswaran & B. Abraham, 1994. "A note on Model Reference Adaptive System (MRAS) estimate with infinite variance," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 48(3), pages 253-257, November.
    17. Nolan, John P. & Ojeda-Revah, Diana, 2013. "Linear and nonlinear regression with stable errors," Journal of Econometrics, Elsevier, vol. 172(2), pages 186-194.
    18. Toker Doganoglu & Christoph Hartz & Stefan Mittnik, 2007. "Portfolio optimization when risk factors are conditionally varying and heavy tailed," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 333-354, May.
    19. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034, Decembrie.
    20. Mann, Jitendar S. & Heifner, Richard G., 1976. "The Distribution of Shortrun Commodity Price Movements," Technical Bulletins 158107, United States Department of Agriculture, Economic Research Service.
    21. Neil Shephard, 2020. "An estimator for predictive regression: reliable inference for financial economics," Papers 2008.06130, arXiv.org.
    22. Vijverberg, Wim P. & Hasebe, Takuya, 2015. "GTL Regression: A Linear Model with Skewed and Thick-Tailed Disturbances," IZA Discussion Papers 8898, Institute of Labor Economics (IZA).
    23. Kim, Jeong-Ryeol, 2002. "The stable long-run CAPM and the cross-section of expected returns," Discussion Paper Series 1: Economic Studies 2002,05, Deutsche Bundesbank.
    24. Ismat M. Ibrahim, 2018. "Comparison Between Maximum Likelihood Estimator And Ordinary Least Squares By Using Saz1 And Saz2 As Alternative Companion Mean Squares Of Error," Yearbook of the Faculty of Economics and Business Administration, Sofia University, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria, vol. 16(1), pages 145-159, December.
    25. Mikosch, Thomas & de Vries, Casper G., 2013. "Heavy tails of OLS," Journal of Econometrics, Elsevier, vol. 172(2), pages 205-221.

    More about this item

    Keywords

    Quantitative Marketing; Tracker Model; Customer Level Data; Marketing-Mix Modeling;
    All these keywords.

    JEL classification:

    • M31 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Marketing and Advertising - - - Marketing

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