Infinite-Variance Stable Errors and Robust Estimation Procedures: A Monte Carlo Study with Empirical Applications - Tapa blanda

Serttaş, Fatma Özgü

 
9783846547328: Infinite-Variance Stable Errors and Robust Estimation Procedures: A Monte Carlo Study with Empirical Applications
Tapa blanda
ISBN 10: 3846547328 ISBN 13: 9783846547328
Editorial: LAP LAMBERT Academic Publishing, 2011

Sinopsis

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.

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Reseña del editor

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.

Biografía del autor

Fatma Özgü Serttaş was born in Ankara, Turkey and graduated from T.E.D Ankara College in 1995. She attended Bilkent University and received her B.A. in Economics in 2000 and her M.A. in Economics in 2002. She obtained her Ph.D. in Economics from Iowa State University in 2010. Currently, she is an Assistant Professor at Yıldırım Beyazıt University.

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Editorial
LAP LAMBERT Academic Publishing
Año de publicación
2011
Idioma
Inglés
ISBN 10 
3846547328
ISBN 13 
9783846547328
Encuadernación
Tapa blanda
Número de páginas
152
Contacto del fabricante
no disponible
Persona responsable
no disponible