| Median Unbiased Estimation of Bivariate Predictive Regression Models with Heavy-tailed or Heteroscedastic Errors |
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| 引用本文： | 朱复康 王德军. Median Unbiased Estimation of Bivariate Predictive Regression Models with Heavy-tailed or Heteroscedastic Errors[J]. 东北数学, 2007, 23(3): 263-271 |
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| 作者姓名： | 朱复康 王德军 |
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| 作者单位： | Institute of Mathematics, Jilin University, Changchun, 130012 |
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| 基金项目： | The NNSF （10571073） of China, and 985 project of Jilin University. |
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| 摘 要： |
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| 关 键 词： | 二变量 中位数 估算值 方差分析 |
| 文章编号： | 1000-1778（2007）03-0263-09 |
| 收稿时间： | 2006-11-18 |
| 修稿时间： | 2006-11-18 |
Median Unbiased Estimation of Bivariate Predictive Regression Models with Heavy-tailed or Heteroscedastic Errors |
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| ZHU Fu-kang and WANG De-hui. Median Unbiased Estimation of Bivariate Predictive Regression Models with Heavy-tailed or Heteroscedastic Errors[J]. Northeastern Mathematical Journal, 2007, 23(3): 263-271 |
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| Authors: | ZHU Fu-kang and WANG De-hui |
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| Affiliation: | Institute of Mathematics, Jilin University, Changchun, 130012 |
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| Abstract: | In this paper, we consider median unbiased estimation of bivariate predictive regression models with non-normal, heavy-tailed or heteroscedastic errors. We construct confidence intervals and median unbiased estimator for the parameter of interest. We show that the proposed estimator has better predictive potential than the usual least squares estimator via simulation. An empirical application to finance is given. And a possible extension of the estimation procedure to cointegration models is also described. |
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| Keywords: | bivariate predictive regression model heavy-tailed error median unbi-ased estimation |
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