A note on the coefficient of determination in regression models with infinite-variance variables
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References listed on IDEAS
- Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2007.
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- Serttas, Fatma Ozgu, 2010. "Essays on infinite-variance stable errors and robust estimation procedures," ISU General Staff Papers 201001010800002742, Iowa State University, Department of Economics.
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More about this item
KeywordsRegression models; alpha-stable distributions; infinite variance; coefficient of determination; Fama-MacBeth regression; Monte Carlo simulation;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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