Samorodnitsky, Gennady; Rachev, Svetlozar T.; Kurz-Kim, … - Deutsche Bundesbank - 2005
Under the symmetric á-stable distributional assumption for the disturbances, Blattberg et al (1971) consider unbiased linear estimators for a regression model with non-stochastic regressors. We consider both the rate of convergence to the true value and the asymptotic distribution of the...