Structural change tests in tail behaviour and the Asian crisis

This paper explores tests of the hypothesis that the tail thickness of a distribution is constant over time. Using Hill's conditional maximum likelihood estimator for the tail index of a distribution, tests of tail shape constancy are constructed that allow for an unknown breakpoint.

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Bibliographic Details
Published in:The Review of economic studies 2001-07, Vol.68 (236), p.633-664
Main Authors: Quintos, Carmela, Fan, Zhenhong, Phillips, Peter C B
Format: Article
Language:English
Subjects:
Distribution
Econometrics
Economic crisis
Economic statistics
Economic theory
Hypotheses
Hypothesis
Model testing
Regression analysis
Return on investment
Structural change
Time series
Online Access:Get full text
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Description
Summary:This paper explores tests of the hypothesis that the tail thickness of a distribution is constant over time. Using Hill's conditional maximum likelihood estimator for the tail index of a distribution, tests of tail shape constancy are constructed that allow for an unknown breakpoint.
ISSN:0034-6527
1467-937X