|Title:||Moment Redundancy Test with Application to Efficiency-Improving Copulas|
Discipline of Business Analytics, The University of Sydney Business School
|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.|
|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-2019-05.pdf||2.33 MB||Adobe PDF|
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