Thursday, August 30, 2012

The Cauchy Estimator & Unit Root Tests

As we all know, there's more than one way to estimate a regression equation. Some of the estimators that we frequently use include OLS, GLS, IV, GMM, LAD, and ML. Some of these estimators are special cases of some of the others, depending on the circumstances.

But have you ever used the Cauchy estimator? Probably not, even though it's been around (at least) since 1836.