| 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 |
|