Bimodal t-ratios: The impact of thick tails on inference
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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
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| Subjects: | |
| Online Access: | 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 |
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| Institution: | Singapore Management University |
| Language: | English |