On the Performance of Least Squares in Linear Regression with Undefined Error Means
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References listed on IDEAS
- Andrews, Donald W. K., 1985. "A Zero-One Result for the Least Squares Estimator," Econometric Theory, Cambridge University Press, vol. 1(01), pages 85-96, April.
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- Peter C.B. Phillips & Mico Loretan, 1990. "Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns," Cowles Foundation Discussion Papers 947, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C. B. & Loretan, Mico, 1991.
"The Durbin-Watson ratio under infinite-variance errors,"
Journal of Econometrics,
Elsevier, vol. 47(1), pages 85-114, January.
- Peter C.B. Phillips & Mico Loretan, 1989. "The Durbin-Watson Ratio Under Infinite Variance Errors," Cowles Foundation Discussion Papers 898R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
More about this item
KeywordsLeast squares estimator; linear regression; stable distribution; fat-tails; consistency; robustness;
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