Statistical inference in regression with heavy-tailed integrated variables

S. Mittnik, V. Paulauskas, S. T. Rachev

Research output: Contribution to journalArticle

4 Scopus citations

Abstract

We consider the problem of statistical inference in a bivariate time series regression model when the innovations are heavy-tailed and the OLS estimator is used for parameter estimation. We develop the asymptotic theory for the OLS estimator and the corresponding t-statistics. Limit distributions, that enable us to construct confidence intervals for the estimated parameters, are obtained via Monte Carlo simulations. The approach allows the components of the innovation vector to have different tail behavior.

Original languageEnglish
Pages (from-to)1145-1158
Number of pages14
JournalMathematical and Computer Modelling
Volume34
Issue number9-11
DOIs
StatePublished - Sep 24 2001

Keywords

  • Cointegration
  • Financial modeling
  • Infinite variance
  • Integrated variables

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