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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19606| Title: | Asymptotic distribution of linear unbiased estimators in the presence of heavy-tailed stochastic regressors and residuals |
| Keywords: | ddc:330 Asymptotic distribution rate of convergence stochastic regressor stable non-Gaussian finite or infinite variance heavy tails Regression Schätztheorie Statistische Verteilung Theorie |
| Issue Date: | 16-Oct-2013 |
| Description: | Under the symmetric á-stable distributional assumption for the disturbances, Blattberg et al (1971) consider unbiased linear estimators for a regression model with non-stochastic regressors. We consider both the rate of convergence to the true value and the asymptotic distribution of the normalized error of the linear unbiased estimators. By doing this, we allow the regressors to be stochastic and disturbances to be heavy-tailed with either finite or infinite variances, where the tail-thickness parameters of the regressors and disturbances may be different. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19606 |
| Other Identifiers: | http://hdl.handle.net/10419/19606 ppn:49586241X RePEc:zbw:bubdp1:4215 |
| Appears in Collections: | EconStor |
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