Modeling macroeconomic time series via heavy tailed distributions

Details Modeling macroeconomic time series via heavy tailed distributions Modeling macroeconomic time series via heavy tailed distributions

2007-02-27

arxiv.org/abs/math/0702844v1

IMS Lecture Notes Monograph Series 2006, Vol. 52, 138-148

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/074921706000001003 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/p

Scientific paper

10.1214/074921706000001003

It has been shown that some macroeconomic time series, especially those where outliers could be present, can be well modelled using heavy tailed distributions for the noise components. Methods for deciding when and where heavy-tailed models should be preferred are investigated. These investigations primarily focus on automatic methods for model identification and selection. Current methods are extended to incorporate a non-Gaussian selection element, and various different criteria for deciding on which overall model should be used are examined.

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