|Title:||A New Family of Copulas, with Application to Estimation of a Production Frontier System|
Discipline of Business Analytics, The University of Sydney Business School
|Abstract:||In this paper we propose a new family of copulas for which the copula arguments are uncorrelated but dependent. Specifically, if w1 and w2 are the uniform random variables in the copula, they are uncorrelated, but w1 is correlated with |w2 - ½|. We show how this family of copulas can be applied to the error structure in an econometric production frontier model. We also generalize the family of copulas to three or more dimensions, and we give an empirical application.|
|Department/Unit/Centre:||Discipline of Business Analytics, The University of Sydney Business School|
|Type of Work:||Working Paper|
|Appears in Collections:||Working Papers - Business Analytics|
|BAWP-2019-04.pdf||254.58 kB||Adobe PDF|
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