Moment redundancy test with application to efficiency-improving copulas

C-Tier
Journal: Economics Letters
Year: 2018
Volume: 171
Issue: C
Pages: 29-33

Authors (3)

Hao, Bowen (not in RePEc) Prokhorov, Artem (St. Petersburg State Universit...) Qian, Hailong (not in RePEc)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Moment redundancy as defined by Breusch et al. (1999) is a testable hypothesis. We propose a simple test of the hypothesis in the context of copula-based pseudo-maximum likelihood estimation considered by Prokhorov and Schmidt (2009b). A robust and efficiency-improving parametric copula permits sizable improvement in precision at no cost in terms of bias and the proposed test can be used to select such copulas.

Technical Details

RePEc Handle
repec:eee:ecolet:v:171:y:2018:i:c:p:29-33
Journal Field
General
Author Count
3
Added to Database
2026-01-29