Asymptotic Distribution of Linear Unbiased Estimators in the Presence of Heavy-Tailed Stochastic Regressors and Residuals
56 Pages Posted: 8 Jun 2016
Date Written: 2005
Abstract
Under the symmetric á-stable distributional assumption for the disturbances,
Keywords: Asymptotic distribution, rate of convergence, stochastic regressor, stable non-Gaussian, finite or infinite variance, heavy tails
Suggested Citation: Suggested Citation
Kurz-Kim, Jeong-Ryeol and Rachev, Svetlozar and Samorodnitsky, Gennady, Asymptotic Distribution of Linear Unbiased Estimators in the Presence of Heavy-Tailed Stochastic Regressors and Residuals (2005). Bundesbank Series 1 Discussion Paper No. 2005,21, Available at SSRN: https://ssrn.com/abstract=2785204 or http://dx.doi.org/10.2139/ssrn.2785204
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