Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19606
Authors: 
Samorodnitsky, Gennady
Rachev, Svetlozar T.
Kurz-Kim, Jeong-Ryeol
Year of Publication: 
2005
Series/Report no.: 
Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2005,21
Abstract: 
Under the symmetric á-stable distributional assumption for the disturbances, Blattberg et al (1971) consider unbiased linear estimators for a regression model with non-stochastic regressors. We consider both the rate of convergence to the true value and the asymptotic distribution of the normalized error of the linear unbiased estimators. By doing this, we allow the regressors to be stochastic and disturbances to be heavy-tailed with either finite or infinite variances, where the tail-thickness parameters of the regressors and disturbances may be different.
Subjects: 
Asymptotic distribution
rate of convergence
stochastic regressor
stable non-Gaussian
finite or infinite variance
heavy tails
Document Type: 
Working Paper

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