McDonald, James B.; Newey, Whitney K. - In: Econometric Theory 4 (1988) 03, pp. 428-457
This paper considers M-estimators of regression parameters that make use of a generalized functional form for the disturbance distribution. The family of distributions considered is the generalized <italic>t</italic> (GT), which includes the power exponential or Box-Tiao, normal, Laplace, and <italic>t</italic> distributions as...