Heavy tails of OLS
Heavy tails of OLS
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DOI：
10.1016/j.jeconom.2012.08.015
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发表时间：
2013-02
影响因子：
6.3
通讯作者：
T. Mikosch;C. G. Vries
中科院分区：
文献类型：
--
作者：
T. Mikosch;C. G. Vries
假设回归中噪声分布的尾部表现出幂律行为。OLS回归估计量的分布继承了这种尾部行为。这与涉及财务数据的回归相关。我们推导出OLS估计量分布的尾部概率的显式有限样本表达式。这些对推理很有用。对中等规模样本的模拟显示，系数估计值与真实值有相当大的偏差，与我们的理论公式一致。这些公式为判断在收益率曲线回归中观察到的高度可变的期望系数的跨国估计提供了一个基准。
Suppose the tails of the noise distribution in a regression exhibit power law behavior. Then the distribution of the OLS regression estimator inherits this tail behavior. This is relevant for regressions involving financial data. We derive explicit finite sample expressions for the tail probabilities of the distribution of the OLS estimator. These are useful for inference. Simulations for medium sized samples reveal considerable deviations of the coefficient estimates from their true values, in line with our theoretical formulas. The formulas provide a benchmark for judging the observed highly variable cross country estimates of the expectations coefficient in yield curve regressions.