McAleer, Michael; Wong, Wing-Keung; Bian, Bian, G. - Faculteit der Economische Wetenschappen, Erasmus … - 2010
In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for...
