In this paper, using the Monte Carlo (MC) method we propose an estimation and (at the same time) a test procedure for the stability parameter of a-stable distributions. One powerful advantage of the MC method is that it provides an exact significance level for finite samples, whose distribution...

We study the problem of estimating the parameters of a linear median regression without any assumption on the shape of the error distribution -- including no condition on the existence of moments -- allowing for heterogeneity (or heteroskedasticity) of unknown form, noncontinuous distributions,...

We study the distribution of Durbin-Wu-Hausman (DWH) and Revankar-Hartley (RH) tests for exogeneity from a finite-sample viewpoint, under the null and alternative hypotheses. We consider linear structural models with possibly non-Gaussian errors, where structural parameters may not be identified...