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A note on the coefficient of determination in regression models with infinite-variance variables
Loretan, Michael Stanislaus; Kurz-Kim, Jeong-Ryeol - Deutsche Bundesbank - 2007
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...
Persistent link: https://www.econbiz.de/10005083093
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A reappraisal of the evidence on PPP: a systematic investigation into MA roots in panel unit root tests and their implications
Fischer, Christoph; Porath, Daniel - Deutsche Bundesbank - 2006
Panel unit root tests of real exchange rates – as opposed to univariate tests – usually reject non-stationarity. These … correlation matrix affect the size of first and second generation panel unit root tests. Two components of the real exchange rate …, the real exchange rate of a single good and a weighted sum of relative prices, are constructed from the data for a panel …
Persistent link: https://www.econbiz.de/10005083113