Tail dependence of OLS

Research output: Contribution to journalArticleAcademic

Abstract

This paper shows that if the errors in a multiple regression model are heavy-tailed, the ordinary least squares (OLS) estimators for the regression coefficients are tail-dependent. The tail dependence arises, because the OLS estimators are stochastic linear combinations of heavy-tailed random variables. Moreover, tail dependence also exists between the fitted sum of squares (FSS) and the residual sum of squares (RSS), because they are stochastic quadratic combinations of heavy-tailed random variables.

Original languageEnglish
JournalEconometric Theory
Volumeaccepted
DOIs
Publication statusPublished - 2 Jul 2021

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