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Maximum likelihood estimators in regression models with infinite variance innovations

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  • Vygantas Paulaauskas
  • Svetlozar Rachev

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  • Vygantas Paulaauskas & Svetlozar Rachev, 2003. "Maximum likelihood estimators in regression models with infinite variance innovations," Statistical Papers, Springer, vol. 44(1), pages 47-65, January.
    • Handle: RePEc:spr:stpapr:v:44:y:2003:i:1:p:47-65
    DOI: 10.1007/s00362-002-0133-8
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    References listed on IDEAS

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    1. Park, Joon Y. & Phillips, Peter C.B., 1988. "Statistical Inference in Regressions with Integrated Processes: Part 1," Econometric Theory, Cambridge University Press, vol. 4(3), pages 468-497, December.
    2. Chan, Ngai Hang & Tran, Lanh Tat, 1989. "On the First-Order Autoregressive Process with Infinite Variance," Econometric Theory, Cambridge University Press, vol. 5(3), pages 354-362, December.
    3. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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    Cited by:

    1. Christoph Kustosz & Christine Müller, 2014. "Analysis of crack growth with robust, distribution-free estimators and tests for non-stationary autoregressive processes," Statistical Papers, Springer, vol. 55(1), pages 125-140, February.
    2. D. M. Mahinda Samarakoon & Keith Knight, 2009. "A Note on Unit Root Tests with Infinite Variance Noise," Econometric Reviews, Taylor & Francis Journals, vol. 28(4), pages 314-334.
    3. Yousef, Waleed A. & Kundu, Subrata, 2014. "Learning algorithms may perform worse with increasing training set size: Algorithm–data incompatibility," Computational Statistics & Data Analysis, Elsevier, vol. 74(C), pages 181-197.
    4. Amit Shelef & Edna Schechtman, 2019. "A Gini-based time series analysis and test for reversibility," Statistical Papers, Springer, vol. 60(3), pages 687-716, June.
    5. Christoph P. Kustosz & Anne Leucht & Christine H. MÜller, 2016. "Tests Based on Simplicial Depth for AR(1) Models With Explosion," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(6), pages 763-784, November.
    6. Greg Hannsgen, 2011. "Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version," Economics Working Paper Archive wp_682, Levy Economics Institute.

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