Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87477
Authors: 
Bian, Guorui
McAleer, Michael
Wong, Wing-Keung
Year of Publication: 
2013
Series/Report no.: 
Tinbergen Institute Discussion Paper 13-036/III
Abstract: 
In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for estimating the parameters of the Capital Asset Pricing Model by comparing its performance with least squares estimators (LSE) on the monthly returns of US portfolios. The empirical results reveal that the MML estimators are more efficient than LSE in terms of the relative efficiency of one-step-ahead forecast mean square error in small samples
Subjects: 
Maximum likelihood estimators
Modified maximum likelihood estimators
Student t family
Capital asset pricing model
Robustness
JEL: 
C1
C2
G1
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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