Since Mandelbrot's seminal work (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...

The paper considers the K-statistic, Kleibergen’s (2000) adaptation ofthe Anderson-Rubin (AR) statistic in instrumental variables regression.Compared to the AR-statistic this K-statistic shows improvedasymptotic efficiency in terms of degrees of freedom in overidentifiedmodels and yet it...