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https://hdl.handle.net/10419/19687
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
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dc.contributor.author | Loretan, Michael Stanislaus | en |
dc.contributor.author | Kurz-Kim, Jeong-Ryeol | en |
dc.date.accessioned | 2009-01-28T16:02:00Z | - |
dc.date.available | 2009-01-28T16:02:00Z | - |
dc.date.issued | 2007 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aDeutsche Bundesbank |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aDiscussion Paper Series 1 |x2007,10 | en |
dc.subject.jel | C13 | en |
dc.subject.jel | C21 | en |
dc.subject.jel | G12 | en |
dc.subject.jel | C12 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Regression models | en |
dc.subject.keyword | alpha-stable distributions | en |
dc.subject.keyword | infinite variance | en |
dc.subject.keyword | coefficient of determination | en |
dc.subject.keyword | Fama-MacBeth regression | en |
dc.subject.keyword | Monte Carlo simulation | en |
dc.subject.stw | Regression | en |
dc.subject.stw | Schätztheorie | en |
dc.subject.stw | Statistische Verteilung | en |
dc.subject.stw | Capital Asset Pricing Model | en |
dc.subject.stw | Theorie | en |
dc.title | A note on the coefficient of determination in regression models with infinite-variance variables | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 529232138 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:bubdp1:5574 | en |
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