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Infinite-Variance Stable Errors and Robust Estimation Procedures (Paperback) Loot Price: R1,557 Discovery Miles 15 570
Infinite-Variance Stable Errors and Robust Estimation Procedures (Paperback): Fatma Ozgu Serttas
Infinite-Variance Stable Errors and Robust Estimation Procedures (Paperback): Fatma Ozgu Serttas

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Infinite-Variance Stable Errors and Robust Estimation Procedures (Paperback)

Fatma Ozgu Serttas

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Loot Price R1,557 Discovery Miles 15 570

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Gaussian normal error assumption is a basic assumption for co-integration tests. Ordinary Least Squares (OLS) based regression techniques are also widely used together with the normality assumption. To consider the heavy-tailed structure observed in many economic and financial time series, new residual-based co-integration tests are developed and analyzed via Monte Carlo simulations. The new tests are based on Least Absolute Deviation (LAD) regressions, whose error structure follows the infinite-variance stable distribution. Empirical applications on Forward Rate Unbiasedness Hypothesis (FRUH) and Purchasing Power Parity (PPP) verify the need to make use of the infinite-variance stable distributions as the error distributions.

General

Imprint: Lap Lambert Academic Publishing
Country of origin: Germany
Release date: December 2011
First published: December 2011
Authors: Fatma Ozgu Serttas
Dimensions: 229 x 152 x 9mm (L x W x T)
Format: Paperback - Trade
Pages: 152
ISBN-13: 978-3-8465-4732-8
Barcode: 9783846547328
Categories: Promotions
Books
LSN: 3-8465-4732-8

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