Inconsistency of estimate of the degree of freedom of multivariate student-t disturbances in linear regression models

被引：1
|
作者：
Wang, SG
Ip, WC
机构：
[1] Hong Kong Polytech Univ, Dept Math, Kowloon, Hong Kong, Peoples R China
[2] Beijing Polytech Univ, Dept Appl Math, Beijing 100022, Peoples R China
来源：
ECONOMICS LETTERS | 2003年 / 80卷 / 03期
关键词：
characteristic function; Chebychev's inequality; variance;
D O I：
10.1016/S0165-1765(03)00117-4
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
A moment estimator for the degree of freedom of the jointly multivariate student-t distribution of the disturbances in a linear regression model has been suggested by Singh [Economic letters (1988) 27, 47-53]. In this paper we will show that the distribution of the moment estimate is independent of the true value of the degree of freedom and the estimate converges to infinite in probability as the sample size goes to infinite. Our results show that the moment estimate does not provide any information on the degree of freedom. (C) 2003 Elsevier B.V. All rights reserved.
引用
收藏
页码：383 / 389
页数：7
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