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You are concerned about non-normality, heteroskedasticity, and autocorrelation in your data. The normality of errors is not an assumption of OLS (it is for MLE regression). That is, you can conclude that OLS is the best linear unbiased estimator (BLUE) without assuming normality. Nevertheless, there are a number of techniques within the context of robust ...


The issue I have with these approaches is that they use the unconditional distribution to eliminate the latent volatility. However, when the volatility process has very weak mean reversion one would need a very long and clean sample to make robust parameter identification from the unconditional density. They just throw away all the information from the ...

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