A Highly Efficient Regression Estimator for Skewed And/Or Heavy-Tailed Distributed Errors
11 Pages Posted: 24 May 2017
Date Written: November 2016
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
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