Hallin, Marc; Swan, Yvik; Verdebout, Thomas; Veredas, David - In: Journal of Econometrics 172 (2013) 2, pp. 195-204
Classical estimation techniques for linear models either are inconsistent, or perform rather poorly, under α-stable error densities; most of them are not even rate-optimal. In this paper, we propose an original one-step R-estimation method and investigate its asymptotic performances under...