A Highly Efficient Regression Estimator for Skewed and/or Heavy-tailed Distributed Errors

Lorenzo Ricci, Vincenzo Verardi and Catherine Vermandele

Working Papers from European Stability Mechanism

Abstract: This paper proposes a simple maximum likelihood regression estimator that outperforms Least Squares in terms of efficiency and mean square error for a large number of skewed and/or heavy tailed error distributions.

JEL-codes: C13 C16 G17 (search for similar items in EconPapers)
Pages: 8 Pages
Date: 2016-11-18
New Economics Papers: this item is included in nep-ecm and nep-ore
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:stm:wpaper:19

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