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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19687Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.creator | Loretan, Michael Stanislaus | - |
| dc.creator | Kurz-Kim, Jeong-Ryeol | - |
| dc.date | 2007 | - |
| dc.date.accessioned | 2013-10-16T07:06:17Z | - |
| dc.date.available | 2013-10-16T07:06:17Z | - |
| dc.date.issued | 2013-10-16 | - |
| dc.identifier | http://hdl.handle.net/10419/19687 | - |
| dc.identifier | ppn:529232138 | - |
| dc.identifier | RePEc:zbw:bubdp1:5574 | - |
| dc.identifier.uri | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19687 | - |
| dc.description | Since Mandelbrot's seminal work (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical results on estimation and hypothesis testing in regression models with infinite-variance variables, we examine the statistical properties of the coefficient of determination in regression models with infinite-variance variables. These properties differ in several important aspects from those in the well-known finite variance case. In the infinite-variance case when the regressor and error term share the same index of stability, the coefficient of determination has a nondegenerate asymptotic distribution on the entire [0,1] interval, and the probability density function of this distribution is unbounded at 0 and 1. We provide closedform expressions for the cumulative distribution function and probability density function of this limit random variable. In an empirical application, we revisit the Fama-MacBeth two-stage regression and show that in the infinite variance case the coefficient of determination of the second-stage regression converges to zero asymptotically. | - |
| dc.language | eng | - |
| dc.relation | Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2007,10 | - |
| dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | - |
| dc.subject | C13 | - |
| dc.subject | C21 | - |
| dc.subject | G12 | - |
| dc.subject | C12 | - |
| dc.subject | ddc:330 | - |
| dc.subject | Regression models | - |
| dc.subject | alpha-stable distributions | - |
| dc.subject | infinite variance | - |
| dc.subject | coefficient of determination | - |
| dc.subject | Fama-MacBeth regression | - |
| dc.subject | Monte Carlo simulation | - |
| dc.subject | Regression | - |
| dc.subject | Schätztheorie | - |
| dc.subject | Statistische Verteilung | - |
| dc.subject | Capital Asset Pricing Model | - |
| dc.subject | Theorie | - |
| dc.title | A note on the coefficient of determination in regression models with infinite-variance variables | - |
| dc.type | doc-type:workingPaper | - |
| Appears in Collections: | EconStor | |
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