期刊名称：Discussion Paper Series / Department of Economics, Monash University
出版年度：2005
卷号：1
出版社：Monash University
摘要：In this paper, we develop the modified maximum likelihood (MML) estimators for the multiple
regression coefficients in linear model with the underlying distribution assumed to be
symmetric, one of Student's t family. We obtain the closed form of the estimators and derive
their asymptotic properties. In addition, we demonstrate that the MML estimators are more
appropriate to estimate the parameters in the Capital Asset Pricing Model by comparing its
performance with that of least squares estimators (LSE) on the monthly returns of US
portfolios. Our empirical study reveals that the MML estimators are more efficient than the
LSE in terms of relative efficiency of one-step-ahead forecast mean square error for small
samples.
关键词：Maximum likelihood estimators, Modified maximum likelihood estimators,
Student’s t family, Capital Asset Pricing Model, Robustness.
