Bimodal T-Ratios: The Impact of Thick Tails on Inference

@article{Fiorio2010BimodalTT,
  title={Bimodal T-Ratios: The Impact of Thick Tails on Inference},
  author={Carlo V. Fiorio and Vassilis Argyrou Hajivassiliou and Peter C. B. Phillips},
  journal={Econometrics: Econometric \& Statistical Methods - General eJournal},
  year={2010}
}
This paper studies the distribution of the classical t-ratio with data generated from distributions with no finite moments and shows how classical testing is affected by bimodality. A key condition in generating bimodality is independence of the observations in the underlying data-generating process (DGP). The paper highlights the strikingly different implications of lack of correlation versus statistical independence in DGPs with infinite moments and shows how standard inference can be… Expand
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