Inference in mixed causal and noncausal models with generalized Student's t-distributions
Abstrak
The properties of Maximum Likelihood estimator in mixed causal and noncausal models with a generalized Student's t error process are reviewed. Several known existing methods are typically not applicable in the heavy-tailed framework. To this end, a new approach to make inference on causal and noncausal parameters in finite sample sizes is proposed. It exploits the empirical variance of the generalized Student's-t, without the existence of population variance. Monte Carlo simulations show a good performance of the new variance construction for fat tail series. Finally, different existing approaches are compared using three empirical applications: the variation of daily COVID-19 deaths in Belgium, the monthly wheat prices, and the monthly inflation rate in Brazil.
Topik & Kata Kunci
Penulis (2)
Francesco Giancaterini
Alain Hecq
Akses Cepat
- Tahun Terbit
- 2020
- Bahasa
- en
- Sumber Database
- arXiv
- Akses
- Open Access ✓