Bimodal t-ratios: The impact of thick tails on inference

• المؤلفون الرئيسيون: FIORO, Carlo V., HAJIVASSILIOU, Vassilis A., Peter C. B. PHILLIPS
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2010
• الموضوعات: Bimodality; Cauchy; Double-pareto; Thick tails; T- ratio; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1817; https://ink.library.smu.edu.sg/context/soe_research/article/2816/viewcontent/bimodal_t_ratio_av.pdf

This paper studies the distribution of the classical t-ratio with data generated from distributions with no finite moments and shows how classical testing is affected by bimodality. A key condition in generating bimodality is independence of the observations in the underlying data-generating process...