00000nam 2200000zi 4500 9.903820 CaOODSP 20221107180351 m o d f cr cn||||||||| 211004t20212021oncd ob f000 0 eng d CaOODSP eng rda CaOODSP FB3-5/2021-45E-PDF Bachem, Milian, author. Covariates hiding in the tails / by Milian Bachem, Lerby M. Ergun, Casper G. de Vries. Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2021. ©2021 1 online resource (ii, 47 pages) : graphs. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2021-45 "September 29, 2021." Cover title. Includes bibliographical references (pages 34-35). "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 right tail in opposite directions. This fact can be exploited to reduce the bias. We show how this bias arises from the factor, how to remedy for the bias and how to apply our methods to financial data and geographic location data"--Abstract, page iii. Econometric models. Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 1701-9397 ; 2021-45. (CaOODSP)9.806221 PDF 620 MB https://publications.gc.ca/collections/collection_2021/banque-bank-canada/FB3-5-2021-45-eng.pdf