Heavy tails of OLS

被引：13

作者：

Mikosch, Thomas ^{[1
]}

de Vries, Casper G. ^{[2
]}

机构：

[1] Univ Copenhagen, Dept Math, DK-2100 Copenhagen, Denmark

[2] Erasmus Univ, Dept Econ, NL-3000 Rotterdam, Netherlands

来源：

JOURNAL OF ECONOMETRICS | 2013年 / 172卷 / 02期

关键词：

Heavy tails; OLS estimator distribution; Small sample inference; REGULAR VARIATION; REGRESSION; BEHAVIOR; RATES;

D O I：

10.1016/j.jeconom.2012.08.015

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Suppose the tails of the noise distribution in a regression exhibit power law behavior. Then the distribution of the OLS regression estimator inherits this tail behavior. This is relevant for regressions involving financial data. We derive explicit finite sample expressions for the tail probabilities of the distribution of the OLS estimator. These are useful for inference. Simulations for medium sized samples reveal considerable deviations of the coefficient estimates from their true values, in line with our theoretical formulas. The formulas provide a benchmark for judging the observed highly variable cross country estimates of the expectations coefficient in yield curve regressions. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：205 / 221

页数：17

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