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Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/19687
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| DC Field | | Value | | Language |
| dc.contributor.author | | Loretan, Michael Stanislaus | | en_US |
| dc.contributor.author | | Kurz-Kim, Jeong-Ryeol | | en_US |
| dc.date.accessioned | | 2009-01-28T16:02:00Z | | - |
| dc.date.available | | 2009-01-28T16:02:00Z | | - |
| dc.date.issued | | 2007 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/19687 | | - |
| dc.description.abstract | | 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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.relation.ispartofseries | | Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2007,10 | | en_US |
| dc.subject.jel | | C13 | | en_US |
| dc.subject.jel | | C21 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.jel | | C12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Regression models | | en_US |
| dc.subject.keyword | | alpha-stable distributions | | en_US |
| dc.subject.keyword | | infinite variance | | en_US |
| dc.subject.keyword | | coefficient of determination | | en_US |
| dc.subject.keyword | | Fama-MacBeth regression | | en_US |
| dc.subject.keyword | | Monte Carlo simulation | | en_US |
| dc.subject.stw | | Regression | | en_US |
| dc.subject.stw | | Schätztheorie | | en_US |
| dc.subject.stw | | Statistische Verteilung | | en_US |
| dc.subject.stw | | Capital Asset Pricing Model | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | A note on the coefficient of determination in regression models with infinite-variance variables | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 529232138 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank
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