{"product_id":"infinite-variance-stable-errors-and-robust-estimation-procedures-a-monte-carlo-study-with-empirical-applications-3846547328","title":"Infinite-Variance Stable Errors and Robust Estimation Procedures: A Monte Carlo Study with Empirical Applications","description":"\u003cp\u003e\u003cstrong\u003eISBN:\u003c\/strong\u003e 3846547328\u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eAuthor:\u003c\/strong\u003e Serttas, Fatma\u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eCondition:\u003c\/strong\u003e New\u003c\/p\u003e\u003cp\u003eGaussian 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.\u003c\/p\u003e","brand":"Mia Karts","offers":[{"title":"Default Title","offer_id":51929684607264,"sku":"NEW3846547328","price":96.0,"currency_code":"USD","in_stock":false}],"url":"https:\/\/miakarts.com\/products\/infinite-variance-stable-errors-and-robust-estimation-procedures-a-monte-carlo-study-with-empirical-applications-3846547328","provider":"Miakarts Books","version":"1.0","type":"link"}