A Highly Efficient Regression Estimator for Skewed And/Or Heavy-Tailed Distributed Errors
11 Pages Posted: 24 May 2017
Date Written: November 2016
Abstract
This paper proposes a simple maximum likelihood regression estimator that outperforms Least Squares in terms of efficiency and mean square error for a large number of skewed and/or heavy tailed error distributions.
Keywords: Skewed and heavy tailed regression; Tukey’s g and h distribution; Maximum approximated likelihood estimator
JEL Classification: C13, C16, G17
Suggested Citation: Suggested Citation
Ricci, Lorenzo and Verardi, Vincenzo and Vermandele, Catherine, A Highly Efficient Regression Estimator for Skewed And/Or Heavy-Tailed Distributed Errors (November 2016). European Stability Mechanism Working Paper No. 19, Available at SSRN: https://ssrn.com/abstract=2973098 or http://dx.doi.org/10.2139/ssrn.2973098
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