Working Paper
A note on the coefficient of determination in models with infinite variance variables
Abstract: Since the seminal work of Mandelbrot (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 models with alpha-stable variables. If the regressor and error term share the same index of stability alpha
Keywords: Regression analysis;
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Bibliographic Information
Provider: Board of Governors of the Federal Reserve System (U.S.)
Part of Series: International Finance Discussion Papers
Publication Date: 2007
Number: 895