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Covariates hiding in the tails

Scaling behavior measured in cross-sectional studies through the tail index of a power law is prone to a bias. This hampers inference; in particular, time variation in estimated tail indices may be erroneous. In the case of a linear factor model, the factor biases the tail indices in the left and ri...

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Bibliographic Details
Authors and Corporations: Bachem, Milian (Author), Ergun, Lerby M. (Author), Vries, Casper G. de (Author)
Other Authors: Ergun, Lerby M. (VerfasserIn) , Vries, Casper G. de (VerfasserIn) 1955-
Edition: Last updated: September 29, 2021
Type of Resource: E-Book
Language: English
[Ottawa] Bank of Canada [2021]
Series: Bank of Canada: Staff working paper ; 2021, 45
Source: Verbunddaten SWB
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