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

Serttaş, Fatma Özgü

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

Synopsis

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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Présentation de l'éditeur

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.

Biographie de l'auteur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2011
Langue
anglais
ISBN 10 
3846547328
ISBN 13 
9783846547328
Reliure
Broché
Nombre de pages
152
Coordonnées du fabricant
non disponible
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