A note on the coefficient of determination in models with infinite variance variables

Jeong-Ryeol Kurz-Kim and Mico Loretan

No 895, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Since the seminal work of Mandelbrot (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical results on estimation and hypothesis testing in regression models with infinite-variance variables, we examine the statistical properties of the coefficient of determination in models with alpha-stable variables. If the regressor and error term share the same index of stability alpha

Keywords: Regression; analysis (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-ecm
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