Covariates hiding in the tails / by Milian Bachem, Lerby M. Ergun, Casper G. de Vries.: FB3-5/2021-45E-PDF
"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.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.903820&sl=0
| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | Covariates hiding in the tails / by Milian Bachem, Lerby M. Ergun, Casper G. de Vries. |
| Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2021-45 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "September 29, 2021." Cover title. Includes bibliographical references (pages 34-35). |
| Publishing information | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2021. ©2021 |
| Author / Contributor | Bachem, Milian,author. |
| Description | 1 online resource (ii, 47 pages) : graphs. |
| Catalogue number |
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| Subject terms | Econometric models. Modèles économétriques. |
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